<SEC-DOCUMENT>0001193125-16-693032.txt : 20160826
<SEC-HEADER>0001193125-16-693032.hdr.sgml : 20160826
<ACCEPTANCE-DATETIME>20160826112519
ACCESSION NUMBER:		0001193125-16-693032
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		18
CONFORMED PERIOD OF REPORT:	20160630
FILED AS OF DATE:		20160826
DATE AS OF CHANGE:		20160826
EFFECTIVENESS DATE:		20160826

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PIMCO STRATEGIC INCOME FUND, INC
		CENTRAL INDEX KEY:			0000916183
		IRS NUMBER:				943194834
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			0131

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-08216
		FILM NUMBER:		161853368

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

	MAIL ADDRESS:	
		STREET 1:		1633 BROADWAY
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PIMCO STRATEGIC GLOBAL GOVERNMENT FUND INC
		DATE OF NAME CHANGE:	20041005

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	RCM STRATEGIC GLOBAL GOVERNMENT FUND INC
		DATE OF NAME CHANGE:	19931214
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSR
<SEQUENCE>1
<FILENAME>d207982dncsr.htm
<DESCRIPTION>PIMCO STRATEGIC INCOME FUND, INC.
<TEXT>
<HTML><HEAD>
<TITLE>PIMCO Strategic Income Fund, Inc.</TITLE>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:13.5pt; font-family:Times New Roman" ALIGN="center"><B>UNITED STATES </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:13.5pt; font-family:Times New Roman" ALIGN="center"><B>SECURITIES AND EXCHANGE COMMISSION </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Washington, D.C. 20549 </B></P>
<P STYLE="margin-top:24pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>FORM N-CSR </B></P> <P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>INVESTMENT COMPANIES </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">Investment Company Act file number: 811-08216 </P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Strategic Income Fund, Inc. </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:7.5pt; font-family:Times New Roman" ALIGN="center"><B>(Exact name of registrant as specified in charter) </B></P>
<P STYLE="margin-top:10pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>1633 Broadway, New York, NY 10019 </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:7.5pt; font-family:Times New Roman" ALIGN="center"><B>(Address of principal executive offices) </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>William G. Galipeau </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Treasurer (Principal Financial&nbsp;&amp; Accounting Officer) </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>650 Newport Center Drive </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Newport Beach, CA 92660 </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:7.5pt; font-family:Times New Roman" ALIGN="center"><B>(Name and address of agent for service) </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">Copies to: </P> <P STYLE="margin-top:10pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>David C. Sullivan
</B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Ropes&nbsp;&amp; Gray LLP </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Prudential Tower </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>800
Boylston Street </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Boston, MA 02199 </B></P>
<P STYLE="margin-top:8pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Registrant&#146;s telephone number, including area code: (844)&nbsp;337-4626 </P>
<P STYLE="margin-top:16pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Date of fiscal year end: June&nbsp;30 </P> <P STYLE="margin-top:16pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Date of reporting
period: June&nbsp;30, 2016 </P> <P STYLE="margin-top:16pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">Form N-CSR is to be used by management investment companies to file reports with the Commission not later than
10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form
N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. </P> <P STYLE="margin-top:8pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">A registrant is required to disclose the information
specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and
Budget (&#147;OMB&#148;) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. &#167; 3507. </P>

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<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;1.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Reports to Shareholders. </B></TD></TR></TABLE> <P STYLE="margin-top:8pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">The following is a copy of the report transmitted to
shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;) (17 CFR 270.30e-1). </P>

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<IMG SRC="g210014g46p47.jpg" ALT="LOGO">
 </P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#334a73"><B>PIMCO Closed-End Funds
</B></FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px">


<IMG SRC="g210014pcm.jpg" ALT="LOGO">
&nbsp;&nbsp;&nbsp;&nbsp;


<IMG SRC="g210014pgp.jpg" ALT="LOGO">
&nbsp;&nbsp;&nbsp;&nbsp;


<IMG SRC="g210014pko.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:0px;margin-bottom:0px">


<IMG SRC="g210014g84s64.jpg" ALT="LOGO">
&nbsp;&nbsp;&nbsp;&nbsp;


<IMG SRC="g210014pci.jpg" ALT="LOGO">
&nbsp;&nbsp;&nbsp;&nbsp;


<IMG SRC="g210014pdi.jpg" ALT="LOGO">
 </P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Times New Roman" SIZE="6">Annual Report </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Times New Roman" SIZE="4"><I>June 30, 2016 </I></FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px">


<IMG SRC="g210014building.jpg" ALT="LOGO">
 </P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PCM Fund, Inc. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PIMCO Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PIMCO Income Opportunity Fund </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PIMCO Strategic Income Fund, Inc.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PIMCO Dynamic Credit and Mortgage Income Fund </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">(formerly PIMCO Dynamic Credit Income Fund) </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#333333">PIMCO Dynamic Income Fund
</FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px">


<IMG SRC="g210014g19v43.jpg" ALT="LOGO">
 </P>

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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="toc"></A>Table of Contents </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_1">Letter from the Chairman of the Board &amp; President</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_2">Important Information About the Funds</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_3">Financial Highlights</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_4">Statements of Assets and Liabilities</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_5">Consolidated Statements of Assets and Liabilities</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_6">Statements of Operations</A></FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_7">Consolidated Statements of Operations</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_8">Statements of Changes in Net Assets</A></FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_9">Consolidated Statements of Changes in Net Assets</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_10">Statements of Cash Flows</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_11">Consolidated Statements of Cash Flows</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_12">Notes to Financial Statements</A></FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">89</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_13">Report of Independent Registered Public Accounting Firm</A></FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">112</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_14">Glossary</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_15">Federal Income Tax Information</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_16">Shareholder Meeting Results</A></FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_17">Investment Strategy Updates</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_18">Dividend Reinvestment Plan</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_19">Management of the Funds</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_20">Approval of Investment Management Agreement </A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_21">Privacy Policy</A></FONT></P></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">130</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund<BR>Summary</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Schedule of<BR>Investments</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_22">PCM Fund, Inc.</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_28"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_28">27</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_28"></A>&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_23">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT>
</SUP> &amp; Income Fund</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_29"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_29">34</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_29"></A>&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_24">PIMCO Income Opportunity Fund</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_30"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_30">45</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_30"></A>&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_25">PIMCO Strategic Income Fund, Inc.</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_31"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_31">56</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_31"></A>&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_26">PIMCO Dynamic Credit and Mortgage Income
Fund<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_32"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_32">65</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_32"></A>&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.38em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_27">PIMCO Dynamic Income Fund<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_33"></A>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_33">79</A></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><A HREF="#tx210014_33"></A>&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD WIDTH="47%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Consolidated Schedule of Investments </FONT></P></TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_1"></A>Letter from the Chairman of the Board &amp; President </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:Arial Narrow" SIZE="3">Dear Shareholder, </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">The global financial markets generated mixed results during the reporting
period. Investor sentiment fluctuated as investors reacted to incoming economic data, shifting monetary policy, volatile commodity prices and numerous geopolitical issues. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Outside of the reporting period, PIMCO announced on July 19, 2016 that the
firm&#146;s Managing Directors have appointed Emmanuel (Manny) Roman as PIMCO&#146;s next Chief Executive Officer. PIMCO&#146;s current CEO Douglas Hodge will assume a new role as Managing Director and Senior Advisor when Mr. Roman joins PIMCO on
November 1st. The announcement of Mr. Roman as PIMCO&#146;s CEO is the culmination of a process undertaken by the firm to hire a senior executive who would add leadership and strategic insights combined with a deep appreciation of PIMCO&#146;s
diversified global businesses, investment process and focus on superior investment performance and client service. Mr. Roman&#146;s appointment has the full support of the firm&#146;s leadership including Mr. Hodge, PIMCO&#146;s President Jay
Jacobs, the firm&#146;s Executive Committee and its Managing Directors. Mr. Roman has nearly 30 years of experience in the investment industry, with expertise in fixed income and proven executive leadership, most recently as CEO of Man Group PLC,
one of the world&#146;s largest publicly traded alternative asset managers and leader in liquid, high-alpha investment strategies. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:Arial Narrow" SIZE="3">For the 12-month reporting period ended June 30, 2016 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Despite a number of headwinds, the U.S. economy was resilient and continued to
expand during the reporting period. That being said, the pace was far from robust. Looking back, U.S. gross domestic product (&#147;GDP&#148;), which represents the value of goods and services produced in the country, the broadest measure of
economic activity and the principal indicator of economic performance, expanded at a 2.0% annual pace during the third quarter of 2015. Economic activity then decelerated, as GDP grew at a revised 0.9% and 0.8% annual pace during the fourth quarter
of 2015 and first quarter of 2016, respectively. Finally, the Commerce Department&#146;s initial reading &#151; released after the reporting period had ended &#151; showed that second quarter 2016 GDP grew at an annual pace of 1.2%. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">At its meeting in December 2015, the Federal Reserve (&#147;Fed&#148;) took its
initial step toward normalizing monetary policy. In particular, the Fed raised interest rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. However, since that time the Fed has remained on hold. In its official statement
following the Fed&#146;s June 2016 meeting it said, &#147;The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some
time, below levels that are expected to prevail in the longer run.&#148; </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2">Economic activity outside the U.S. was mixed during the reporting period. In the eurozone, underlying economies gradually improved from low levels due to better domestic demand, while low inflation remained
a concern. Against this backdrop, the European Central Bank (&#147;ECB&#148;) introduced additional easing measures, including the purchase of corporate bonds in an attempt to stimulate growth and spur inflation. The Bank of Japan also continued to
pursue highly accommodative monetary policy. While the Bank of England kept rates on hold, British voters&#146; decision in June 2016 to leave the European Union (&#147;Brexit&#148;) led to speculation that the country&#146;s central bank would
lower rates in the near future. Elsewhere, economic activity in China moderated, which impacted growth in many emerging market&nbsp;economies. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Commodity prices were highly volatile during the reporting period. Crude oil declined from $59 to $37 during the first half of the period and then rallied to
$48 at the end of June 2016. Finally, foreign exchange markets fluctuated given economic data, central bank policy and, most recently, Brexit, which sent the pound sharply lower. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:Arial Narrow" SIZE="3">Outlook </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">PIMCO&#146;s baseline view is for a version of today&#146;s status quo to
continue and evolve gradually for the next three to five years. More specifically, PIMCO foresees U.S. GDP growth at or slightly above trend of 1.5% to 2% per year, inflation fluctuating around the 2% Fed&#146;s target, the Fed gradually lifting the
federal funds rate to the &#147;New Neutral&#148; range of 2% to 3% nominal and fiscal policy providing modest positive support to aggregate demand. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Overseas, PIMCO&#146;s baseline view for the eurozone is for lackluster, trend-like growth between 1% and 1.5% per year, with inflation remaining somewhat
below 2%. In terms of monetary policy, PIMCO sees the ECB continuing to do the heavy lifting and eventually even pursuing an extension of the quantitative easing (&#147;QE&#148;) program. PIMCO&#146;s baseline view sees modest positive support for
European growth from fiscal policy, over the next three to five years. Finally, for China, PIMCO&#146;s baseline view is that of a managed slowdown, with growth between 5% and 6% and inflation around 2%. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">In the following pages of this PIMCO Closed-End Funds Annual Report, please
find specific details regarding investment performance and a discussion of factors that most affected the Funds&#146; performance over the 12 months ended June 30, 2016. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Thank you for investing with us. We value your trust and will continue to work
diligently to meet your investment needs. If you have questions regarding any of your PIMCO Closed-End Funds investments, please contact your financial advisor or call the Funds&#146; shareholder servicing agent at (844) 33-PIMCO, or (844) 337-4626.
We also invite you to visit our website at www.pimco.com to learn more about our views. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2">Sincerely, </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Hans W. Kertess</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Peter G. Strelow</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Chairman of the Board</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="2">President</FONT></TD></TR>
</TABLE>
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<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>3</B></FONT></TD></TR></TABLE></DIV>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_2"></A>Important Information About the Funds </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">We believe that bond funds have an important role to play in a well- diversified investment
portfolio. It is important to note, however, that in an environment where interest rates trend upward, rising rates would negatively impact the performance of most bond funds, and fixed- income securities held by a Fund are likely to decrease in
value. A number of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Accordingly, changes in interest rates can be sudden, and there is no guarantee that Fund
Management will anticipate such movement. As of the date of this report, interest rates in the U.S. are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with rising interest
rates. This is especially true since the Federal Reserve Board has concluded its quantitative easing program and, at its meeting on December 16, 2015, raised interest rates for the first time since 2006 from a target range of 0% to 0.25% to a target
range of 0.25% to 0.50%. Further, while the U.S. bond market has steadily grown over the past three decades, dealer inventories of corporate bonds have remained relatively stagnant. As a result, there has been a significant reduction in the ability
of dealers to &#147;make markets&#148; in corporate bonds. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, which could result in increased
losses to a Fund. Bond funds and individual bonds with a longer duration (a measure of the sensitivity of a security&#146;s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile
than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds&#146; common shares may be particularly sensitive to changes in interest rates or the perception that there
will be a change in interest rates. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The use of
derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain
costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may
have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund&#146;s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small
price movement in a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund&#146;s net asset value &#147;NAV&#148;. A Fund may engage in such transactions regardless of whether
the Fund owns the asset, instrument or components of the index underlying a derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund&#146;s investment exposure
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not directly own. Changes in regulation relating to a
mutual fund&#146;s use of derivatives and related instruments could potentially limit or impact a Fund&#146;s ability to invest in derivatives, limit a Fund&#146;s ability to employ certain strategies that use derivatives and adversely affect the
value or performance of derivatives and a Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund&#146;s (&#147;PGP&#148;)
monthly distributions are expected to include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial accounting purposes and as ordinary income for tax purposes)
generated by certain types of interest rate derivatives.</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Strategies involving interest rate derivatives may attempt to capitalize on differences between short-term and long-term interest rates as part of the PGP&#146;s duration and yield curve
active management strategies. For instance, in the event that long-term interest rates are higher than short-term interest rates, the Fund may elect to pay a floating short-term interest rate and to receive a long-term fixed interest rate for a
stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest rate (which may rise) is lower than the fixed
long-term interest rate.</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PGP and other Funds may also
enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (<I>e.g.</I>, a 10-year U.S. treasury) that have different effective dates with respect to interest accrual time
periods for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) and that are not part of the Fund&#146;s duration or yield curve management strategies (&#147;paired swap transactions&#148;). In
a paired swap transaction, a Fund would generally enter into one or more interest rate swap agreements whereby the Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in
return for payments equal to a fixed interest rate (the &#147;initial leg&#148;). The Fund would also enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (<I>i.e.</I>, in this
example, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the
commencement of the initial leg (the &#147;forward leg&#148;).</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">A Fund&#146;s income- and gain-generating strategies may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the
Fund has experienced </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>4</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund&#146;s debt investments, or arising from its use of derivatives.&nbsp;For
instance, a significant portion of PGP&#146;s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that the
Fund will later realize a corresponding capital loss and potential decline in its net asset value with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources).&nbsp;Because
some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund&#146;s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be
economically similar to a taxable return of capital when considered together with such capital losses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PGP&#146;s index option strategy, to the extent utilized, seeks to generate payments and premiums from writing options that may offset some or all of the capital losses incurred as a result
of paired swaps transactions.&nbsp;However, the Fund may use paired swap transactions to support monthly distributions where the index option strategy does not produce an equivalent amount of offsetting gains, including without limitation when such
strategy is not being used to a significant extent.&nbsp;In addition, gains (if any) generated from the index option strategy may be offset by the Fund&#146;s realized capital losses, including any available capital loss carryforwards.&nbsp;PGP
currently has significant capital loss carryforwards, some of which will expire at particular dates, and to the extent that the Fund&#146;s capital losses exceed capital gains, the Fund cannot use its capital loss carryforwards to offset capital
gains. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The notional exposure of a Fund&#146;s
interest rate derivatives may represent a multiple of the Fund&#146;s total net assets. There can be no assurance a Fund&#146;s strategies involving interest rate derivatives will work as intended and such strategies are subject to the risks related
to the use of derivatives generally, as discussed above (see also Notes 6 and 7 in the Notes to Financial Statements for further discussion on the use of derivative instruments and certain of the risks associated therewith). </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">A Fund&#146;s use of leverage creates the opportunity for
increased income for the Fund&#146;s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of
return on a Fund&#146;s portfolio, the interest and other costs to the Fund of leverage could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund&#146;s common shareholders.
In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund&#146;s common shares. There can be
no assurance that a Fund&#146;s use of leverage will result in a
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund&#146;s common shareholders, including: (1) the likelihood of greater
volatility of net asset value and market price of the Fund&#146;s common shares, and of the investment return to the Fund&#146;s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund&#146;s
common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund&#146;s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a
rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Fund&#146;s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund&#146;s
common shares. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">A Fund&#146;s investments in and
exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability.
Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a
small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from
U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund&#146;s investments in foreign securities. In the event of nationalization,
expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Risks associated with investing in foreign securities may be increased when a Fund invests in emerging markets. For example, if a Fund invests in
emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the emerging market. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments in loans are generally subject to risks similar to
those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in
many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the
borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general
creditor of the lender and may not benefit from any set-off between the lender and the borrower. The Funds may be subject to heightened or additional risks and potential liabilities and
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>5</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Important Information About the Funds <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT>
</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender
liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans. To the extent that a Fund originates a loan, it may be responsible for all or a
substantial portion of the expenses associated with initiating the loan, irrespective of whether the loan transaction is ultimately consummated or closed. This may include significant legal and due diligence expenses, which will be indirectly borne
by a Fund and its shareholders. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Mortgage-related and
other asset-backed securities often involve risks that are different from or more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related
securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may experience additional volatility since individual mortgage holders are less
likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive
to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and
fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that
money at the lower prevailing interest rates. The Funds&#146; investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of
the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the
benefit of any security interest in the related assets. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">High-yield bonds (commonly referred to as &#147;junk bonds&#148;) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than
higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher rated bonds, and public information is usually less abundant in such markets. Thus, high yield investments increase the chance that a Fund will lose
money on its investment. The Funds may also invest in bonds and other instruments that are not rated, but which PIMCO considers to be equivalent to high-yield investments. The Funds may hold defaulted securities that may involve special
considerations including bankruptcy
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
proceedings, other regulatory and legal restrictions affecting the Funds&#146; ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted
securities are often illiquid and may not be actively traded. Sale of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Variable and floating rate securities generally are less
sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely floating rate securities will not generally increase in value if interest rates decline.
Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or
floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds&#146; shares. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The global economic crisis brought several small economies in
Europe to the brink of bankruptcy and many other economies into recession and weakened the banking and financial sectors of many European countries. For example, the governments of Greece, Spain, Portugal, and the Republic of Ireland have all
experienced large public budget deficits, the effects of which are still yet unknown and may slow the overall recovery of the European economies from the global economic crisis. In addition, due to large public deficits, some European countries may
be dependent on assistance from other European governments and institutions or other central banks or supranational agencies such as the International Monetary Fund. Assistance may be dependent on a country&#146;s implementation of reforms or
reaching a certain level of performance. Failure to reach those objectives or an insufficient level of assistance could result in a deep economic downturn which could significantly affect the value of a Fund&#146;s European investments. It is
possible that one or more Economic and Monetary Union of the European Union (&#147;EMU&#148;) member countries could abandon the euro and return to a national currency and/or that the euro will cease to exist as a single currency in its current
form. The exit of any country out of the euro may have an extremely destabilizing effect on other eurozone countries and their economies and a negative effect on the global economy as a whole. Such an exit by one country may also increase the
possibility that additional countries may exit the euro should they face similar financial difficulties. In June 2016, the United Kingdom approved a referendum to leave the European Union. Significant uncertainty remains in the market regarding the
ramifications of that development, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict.
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>6</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As the use of
technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber
events that may cause a Fund to lose proprietary information, suffer data corruption, or lose operational capacity. Cyber security breaches may involve unauthorized access to a Fund&#146;s digital information systems (e.g., through
&#147;hacking&#148; or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches of a
Fund&#146;s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians, distributors and other third parties) or issuers that a Fund invests in can also subject a Fund to many of
the same risks associated with direct cyber security breaches. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations,
potentially resulting in financial losses; interference with a Fund&#146;s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable
privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the
future. Like with operational risk in general, the Funds have established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially since the Funds
do not directly control the cyber security systems of issuers or third party service providers. The Funds and their shareholders could be negatively impacted as a result. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds may invest in securities and instruments that are
economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short term market volatility, poor accounting
standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such
sanctions &#151; which may impact companies in many sectors, including energy, financial services and defense, among others &#151; may negatively impact the Funds&#146; performance and/or ability to achieve their investment objectives. The Russian
securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market
capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
registration of securities transactions are subject to risks because of registration systems that may not be subject to effective government supervision. This may result in significant delays or
problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of securities they hold for their
clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Funds could be lost through fraud or
negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Funds to enforce any rights it may have against the registrar or issuer of the securities in the
event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil,
natural gas, metals, and timber account for a significant portion of Russia&#146;s exports, leaving the country vulnerable to swings in world prices. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund&#146;s common shares will
fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies frequently trade at a discount
from their net asset value. The common shares of a Fund may trade at a price that is less than the initial offering price and/or the net asset value of such shares. Further, if a Fund&#146;s shares trade at a price that is more than the initial
offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that
the shares will not trade at a discount to net asset value thereafter. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: asset allocation risk, credit risk,
stressed securities risk, distressed and defaulted securities risk, corporate bond risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk,
prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination risk, non- diversification risk, management risk, municipal
bond risk, inflation- indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk,
segregation and cover risk, focused investment risk, credit default </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">swaps risk, event-linked securities risk, counterparty risk,
preferred </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
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<TD WIDTH="11%"></TD>
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<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
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<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>7</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Important Information About the Funds <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT>
</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions
risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio
turnover risk, smaller company risk, short sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance
assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes
that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to
reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund&#146;s shares, or changes in the
Fund&#146;s dividends. Performance shown is net of fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The following table discloses the commencement of operations and diversification status of each Fund: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund Name</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commencement<BR>of Operations</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Diversification<BR>Status</B></FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">09/02/93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">05/31/05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11/30/07</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">02/24/94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">05/30/12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Diversified</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">An investment in a Fund is not a
deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees/Directors</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"> are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to
enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds.
Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund&#146;s original or any subsequent prospectus or Statement of Additional
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a Fund&#146;s registration statement, nor any other communications, disclosure documents or
regulatory filings from or on behalf of a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand. The Trustees
(or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other
changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the
investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to
fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund&#146;s prospectus, SAI or shareholder report and is otherwise still in effect. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PIMCO has adopted written proxy voting policies and procedures (&#147;Proxy Policy&#148;) as required by Rule
206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO
uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon
request, by calling the Funds at (844) 33-PIMCO<BR> (844-337-4626), on the Funds&#146; website at www.pimco.com, and on the Securities and Exchange Commission&#146;s (&#147;SEC&#148;) website at http://www.sec.gov. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Fund files a complete schedule of its portfolio holdings
with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Fund&#146;s Form N-Q is available on the SEC&#146;s website at http://www.sec.gov and may be reviewed and copied at the SEC&#146;s Public Reference Room in
Washington, D.C., and is available without charge, upon request by calling the Funds at (844) 33-PIMCO<BR> (844-337-4626) and on the Funds&#146; website at www.pimco.com. Updated portfolio holdings information about a Fund will be available at
www.pimco.com approximately 15 calendar days after such Fund&#146;s most recent fiscal quarter end, and will remain accessible until such Fund files a Form N-Q or a shareholder report for the period which includes the date of the information.
Information on the operation of the Public Reference Room may be obtained by calling<BR> 1-800-SEC-0330. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP>&nbsp;
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Hereinafter, the terms &#147;Trustee&#148; or &#147;Trustees&#148; used herein shall refer to a Director or Directors of applicable Funds.
</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>8</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_22"></A>PCM Fund, Inc. </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38.7%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34.1%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.8%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30,&nbsp;2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2">&sup1;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>

<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$9.72</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$9.71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.10%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.88%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.89%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">46%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="61%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="16"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(09/02/93)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.91%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.82%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.68%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.20%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.14%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.20%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.80%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.78%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each&nbsp;January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM&#146;s primary investment objective is to seek to achieve high current income. Capital gains from the disposition of investments are a secondary
objective of the Fund. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund
Insights at NAV </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s
performance during the reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. interest rates was the primary contributor to performance, as interest rates rallied significantly.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to commercial mortgage-backed securities (&#147;CMBS&#148;) contributed to performance. The sector performed well, with the
Barclays Non-Agency Investment Grade CMBS Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to non-agency mortgage-backed securities contributed to returns. The sector continued to benefit from an improving U.S. housing
market and limited outstanding supply. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with
the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy
prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.&#146;s referendum to leave the European Union. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="16%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>9</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_23"></A>PIMCO Global StocksPLUS<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund </B></FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PGP</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">39.3%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.9%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.5%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.9%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30, 2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$19.53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$9.76</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">100.10%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.27%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.54%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">45%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="58%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="16"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(05/31/05)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.38%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.98%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13.19%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.62%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7.04)%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.97%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.14%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.78%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp;
Income Fund&#146;s primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Insights at NAV </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s performance during the
reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">A yield curve steepening strategy, implemented through U.S. dollar interest rate swaps, was the primary detractor from performance, as the swap curve
flattened. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exposure to the MSCI EAFE Index through equity index derivatives detracted from absolute returns. International equities (as represented by the MSCI EAFE
Index) declined 10.83% over the 12 months ended June&nbsp;30,&nbsp;2016. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to high yield corporate bonds detracted from performance. The asset class faced headwinds from lower energy prices, financial
market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.&#146;s referendum to leave the European Union. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exposure to residential non-agency mortgage-backed securities added modestly to performance, as these securities benefited from an improving housing
market and limited outstanding supply. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to commercial mortgage-backed securities (&#147;CMBS&#148;) contributed to performance. The sector performed well, with the
Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s use of paired swap transactions during the reporting period supported the Fund&#146;s monthly distributions, but generally resulted in a
decline in the Fund&#146;s net asset&nbsp;value. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="92%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>10</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_24"></A>PIMCO Income Opportunity Fund </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PKO</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">33.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.6%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.6%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Convertible Preferred Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30, 2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="84%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$23.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$22.59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.81%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.91%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.09%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">43%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="69%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(11/30/07)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.87%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.30%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.06%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.83)%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.36%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.40%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund&#146;s investment objective is to seek current income as a primary focus and also capital appreciation.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Insights at NAV </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s performance during the
reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy
prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.&#146;s referendum to leave the European Union. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Within the high yield corporate bond market, exposure to financials, industrials, capital goods, telecommunications and utility credits detracted from
results. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy,
high inflation and a political crisis. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. interest rates benefited performance, as interest rates rallied. This positive impact, however, was partially offset by
strategies designed to benefit from rising long-term interest rates, as the yield curve flattened. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace
much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="16%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>11</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_25"></A>PIMCO Strategic Income Fund, Inc. </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>RCS</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>

<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">59.5%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.1%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.1%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.4%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.7%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.8%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30, 2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="84%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>

<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$9.61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$7.89</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21.80%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.99%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.17%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="16"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(02/24/94)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.14%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.41%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.23%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.34%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4.06%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.55%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.85%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.63%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The primary investment objective of PIMCO Strategic Income Fund, Inc. is to seek to generate a level of income that is higher than that generated by high
quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Insights at NAV </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s performance during the reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to agency mortgage-backed securities was the primary contributor to performance, as the sector benefited from continued Federal
Reserve reinvestment&nbsp;activity. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace
much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to select high yield energy corporate bonds added to performance despite weakness in broader high yield corporate bond and
commodity markets. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with
the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to European residential mortgage-backed securities detracted from performance following the outcome of the&nbsp;U.K.&#146;s
referendum to leave the European&nbsp;Union. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="92%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>12</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_26"></A>PIMCO Dynamic Credit and Mortgage Income Fund </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCI</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>

<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42.6%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.9%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.8%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.5%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.0%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.2%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30, 2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="83%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$19.13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$20.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6.36)%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.29%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.64%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">47%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="76%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="8"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(01/31/13)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.69%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.52%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.36)%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.15%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund&#146;s (formerly PIMCO Dynamic Credit Income Fund) primary investment objective is to seek current income
and capital appreciation is a secondary objective. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT
STYLE="font-family:Arial Narrow" SIZE="2">Fund Insights at NAV </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s performance during the reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy
prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.&#146;s referendum to leave the European Union. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exposure to local and hard currency-denominated Brazilian debt was a significant detractor from returns. Brazil was negatively impacted by its slowing
economy, high inflation and a political crisis. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. interest rates strongly benefited performance, as interest rates rallied. This positive impact, however, was partially
offset by strategies designed to benefit from rising long-term interest rates, as the yield curve flattened. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to commercial mortgage-backed securities (&#147;CMBS&#148;) contributed to performance. The sector performed well, with the
Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to intermediate-term investment grade corporate bonds contributed to performance. The sector performed well, with the Barclays
Intermediate U.S. Corporate Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="16%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>13</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"><B><A NAME="tx210014_27"></A>PIMCO Dynamic Income Fund </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="46%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="white-space:nowrap">Symbol&nbsp;on&nbsp;NYSE&nbsp;-&nbsp;</FONT></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PDI</B></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"></FONT></TD></TR></TABLE></DIV>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Allocation
Breakdown</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">54.5%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.7%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.7%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.6%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.3%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.2%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="8" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.
</FONT></P></TD></TR></TABLE></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Information (as of June 30, 2016)</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2"> </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="85%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$27.57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$26.56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Premium/(Discount) to NAV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.80%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.60%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV Distribution Yield<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.96%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Effective
Leverage<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">47%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="75%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="8"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Average Annual Total Return</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2"> for the period ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1&nbsp;Year</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Commencement<BR>of&nbsp;Operations<BR>(05/30/12)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Market Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13.75%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16.54%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">NAV</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.79%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16.91%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">All Fund returns are net of
fees and expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with
changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV
or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it
should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such
distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if
applicable. Final determination of a distribution&#146;s tax character will be made on Form 1099 DIV sent to shareholders each January. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively &#147;Total Effective Leverage&#148;). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
</FONT></P></TD></TR></TABLE> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Investment Objective and Strategy
Overview </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund&#146;s primary investment objective is to seek current income, with capital appreciation as a secondary objective.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="2">Fund Insights at NAV </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Following are key factors impacting the Fund&#146;s performance during the
reporting period: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. interest rates was the primary contributor to performance as interest rates rallied significantly.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to non-agency mortgage-backed securities contributed to returns. The sector continued to benefit from an improving U.S. housing
market and limited outstanding supply. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to commercial mortgage-backed securities (&#147;CMBS&#148;) contributed to performance. The sector performed well, with the
Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with
the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace
much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&raquo;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT></FONT></TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1">The Fund&#146;s allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy
prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.&#146;s referendum to leave the European Union. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="92%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>14</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
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<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_3"></A>Financial Highlights </B></FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Investment Operations</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Less
Distributions<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP></B></FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="10" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Asset&nbsp;Value<BR>Beginning of<BR>Year or<BR>Period</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;
Investment<BR>Income<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Realized/</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Gain (Loss)</B></FONT></P></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>From Net<BR>Investment<BR>Income</B></FONT></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;<BR>From Net</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Capital</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Gain&nbsp;(Loss)</B></FONT></P></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Tax Basis</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return of</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Capital</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM Fund, Inc.</B></FONT></P></TD>
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<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;10.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1.22</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(1.23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(0.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/01/2015 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(e)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">^&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.48<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.60</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12/31/2012</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.99</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12/31/2011</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.47</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.66</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Global
StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income&nbsp;Fund</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.15</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.07</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.02</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">04/01/2015 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.61</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.55<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2015</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.15</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.85</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.32</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.21</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.60</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.95</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2012</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.61</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Income Opportunity Fund</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.33</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.89</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.56</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.28</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(0.51</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11/01/2014 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(g)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.54</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.86</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.77</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(0.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(3.12<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.67</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.71</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.59</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">27.86</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.87</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.77</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.64</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.83</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.83</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10/31/2012</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.62</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.61</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10/31/2011</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.97</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Strategic Income Fund, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.45</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.31</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">02/01/2015 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(h)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.41</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.40</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.40<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/2015</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.02</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.02</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.66</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.99</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.95</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/2012</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.97</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.36</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.03</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.33</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.40</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/01/2015 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(e)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.83</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.94<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.53</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.47</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.47</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/31/2013 - 12/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.33</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.09</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Income Fund&nbsp;(Consolidated)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.87</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.45</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.42</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4.25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.99</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">04/01/2015 -
06/30/2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30.74</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.80</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.47</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.63</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.63<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2015</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">32.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.49</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4.13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4.13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/31/2014</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.70</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.29</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3.52</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:3.00em; text-indent:-1.50em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">05/30/2012 - 03/31/2013</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.50</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.29</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.45</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Annualized </FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">^</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reflects an amount rounding to less than one cent. </FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Per share amounts based on average number of shares outstanding during the year or period. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2(c) in the Notes to
Financial Statements for more information. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the
market price on the last day of each year reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds&#146; dividend reinvestment plan. Total investment return
does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial
Statements for more information. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(e)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from December 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from March 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">g)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from October 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(h)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from January 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(i)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a
reduction of the amount of days in the period ended June 30, 2015. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>16</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


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

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Common Share</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="18" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ratios/Supplemental Data</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ratios to Average Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Offering<BR>Cost<BR>Charged&nbsp;to<BR>Paid&nbsp;in&nbsp;Capital<BR>in&nbsp;Excess&nbsp;of&nbsp;
Par</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Assets<BR>Value End of<BR>Year or<BR>Period</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market Price<BR>End of Year<BR>or Period</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Investment<BR>Return<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP>
</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets<BR>End&nbsp;of&nbsp;Year&nbsp;or<BR>Period (000s)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expenses<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expenses<BR>Excluding<BR>Interest<BR>Expense<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Investment<BR>Income</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Portfolio<BR>Turnover<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.71</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">112,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1.28</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">123,235</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.54</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.32</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">123,633</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.89</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.40</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.49</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">128,672</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.52</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.75</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.02</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">130,461</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.59</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.77</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.43</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">108,810</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.75</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19.53</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">103,627</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.75</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.56</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.88</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16.92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(21.82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">135,468</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4.05</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">134,594</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.78</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.29</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.67</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">153,393</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.67</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.62</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.32</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21.95</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">148,170</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.64</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.75</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">33</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">128,952</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.71</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.70</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.59</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.87</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">338,292</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.63</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.73</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.99</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25.94</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.22</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">388,353</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.43</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">27.26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">424,632</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">175</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.67</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.81</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">426,561</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.66</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.03</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">27.86</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29.85</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.98</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">411,976</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.29</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.86</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.62</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.45</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">359,909</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.44</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.40</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">194</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.89</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.61</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.14</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">332,051</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.43</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5.81</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">357,692</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5.92</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">355,942</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.98</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.24</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4.58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">379,762</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">208</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.66</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.84</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.21</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">392,317</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.14</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">293</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8.91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.80</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28.34</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">357,712</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14.27</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">147</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20.43</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19.13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,804,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.03</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.63</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20.18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,155,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.63</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.97</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.71</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)^&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.83</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20.65</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,132,146</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.36</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.29</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(0.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.48</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2.79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,298,673</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.52</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.42</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6.06</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;26.56</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;27.57</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13.75</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,222,499</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.60</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13.67</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.38</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29.21</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.87</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,426,891</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.83</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.01</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10.23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30.74</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29.00</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,397,987</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.98</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">32.11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30.32</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.62</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,458,961</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.15</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(0.03</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30.69</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31.10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35.21</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,393,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12.04</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">*&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>17</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_4"></A>Statements of Assets and Liabilities </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June 30, 2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>, except per share amounts)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM&nbsp;Fund,<BR>Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Global<BR>StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp;<BR>Income<BR>Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Income<BR>Opportunity<BR>Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Strategic<BR>Income&nbsp;Fund,<BR>Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Assets:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Investments, at value</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;193,010</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;164,613</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">557,766</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">848,893</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Financial Derivative Instruments</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,231</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">220</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">796</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">392</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,827</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,494</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cash</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">422</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">90</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">79</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Deposits with counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,596</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,201</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,479</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,154</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency, at value</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">53</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">344</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">485</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Receivable for investments sold</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,553</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,345</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,176</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Receivable for mortgage dollar rolls</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">268,511</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest and/or dividends receivable</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,051</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,225</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,490</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,926</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other assets</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Assets</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;201,651</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">189,064</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">572,395</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,126,352</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liabilities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Borrowings &amp; Other Financing Transactions</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">86,869</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">78,833</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">220,193</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">103,332</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for sale-buyback transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">39,895</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for mortgage dollar rolls</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">268,511</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Financial Derivative Instruments</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,211</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,656</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,728</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for investments purchased</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,600</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,274</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for TBA investments purchased</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">370,541</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,561</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,001</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Distributions payable to common shareholders</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">924</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,946</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,846</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,369</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Accrued management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">143</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">165</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">479</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">258</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">304</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">89,552</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">85,437</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">234,103</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">794,301</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;112,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">103,627</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">338,292</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">332,051</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Asset Consist of:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Shares:</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per
share)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Paid in capital in excess of par</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">125,582</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">231,876</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">343,299</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">367,626</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Undistributed (overdistributed) net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,244</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,326</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,500</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,926</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Accumulated undistributed net realized (loss)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(15,925</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(136,224</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,035</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(51,825</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net unrealized appreciation (depreciation)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,814</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,301</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,528</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18,176</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets Applicable to Common Shareholders</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"> 112,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">103,627</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">338,292</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">332,051</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Common Shares Issued and Outstanding</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11,542</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,614</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,977</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42,116</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Asset Value Per Common Share</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.71</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9.76</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22.59</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7.89</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cost of investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;194,952</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;157,664</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;551,852</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;822,455</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cost of foreign currency held</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">53</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">350</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">469</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cost or premiums of financial derivative instruments, net</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,628</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,488</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,360</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(701</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Includes repurchase agreements of:</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24,770</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>18</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_5"></A>Consolidated Statements of Assets and Liabilities </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June 30, 2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="80%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>, except per share amounts)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Dynamic<BR>Credit and<BR>Mortgage<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Dynamic<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Assets:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Investments, at value</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;5,055,464</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,257,021</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Financial Derivative Instruments</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,504</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20,666</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cash</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">737</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">153</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Deposits with counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">103,212</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29,710</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Receivable for investments sold</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">66,882</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,464</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest and/or dividends receivable</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26,606</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,888</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other assets</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Assets</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;5,278,083</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,316,658</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liabilities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Borrowings &amp; Other Financing Transactions</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,380,836</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,028,000</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Financial Derivative Instruments</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">691</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,687</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21,637</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payable for investments purchased</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29,193</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,299</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,376</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Distributions payable to common shareholders</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22,513</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,148</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Overdraft due to custodian</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">593</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">112</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Accrued management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,831</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,124</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Other liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">49</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,474,080</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,094,159</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets Applicable to Common Shareholders</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,804,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,222,499</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Composition of Net Assets Applicable to Common Shareholders:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Par value ($0.00001 per share)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Paid in capital in excess of par</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,274,226</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,101,390</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Undistributed (overdistributed) net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">40,338</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35,233</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Accumulated undistributed net realized (loss)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(233,853</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,016</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net unrealized appreciation (depreciation)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(276,709</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">108,892</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets Applicable to Common Shareholders</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B></B>$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B></B> 2,804,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B></B>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,222,499</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Common Shares Issued and Outstanding</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">137,221</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">46,025</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Asset Value Per Common Share</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20.43</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26.56</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cost of investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;5,384,161</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,156,321</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cost or premiums of financial derivative instruments, net</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,270</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(31,172</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Includes repurchase agreements of:</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">242,219</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">104,632</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>19</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_6"></A>Statements of Operations </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Year Ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM&nbsp;Fund,<BR></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Inc.</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Global</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;
&amp;</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Income</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Income</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Opportunity</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Strategic</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Income&nbsp;Fund,</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Inc.</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Investment Income:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest, net of foreign taxes*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17,127</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15,237</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42,980</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">36,295</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Dividends</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,180</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17,132</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15,262</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">44,160</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">36,309</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expenses:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,803</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,069</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,991</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,238</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Trustee fees and related expenses</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">51</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">49</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest expense</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,271</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,067</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,158</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,035</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Miscellaneous expense</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Expenses</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,091</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,155</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,218</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,332</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,041</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34,942</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31,977</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Realized Gain (Loss):</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,799</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,587</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,374</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(307</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">241</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,674</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(19,203</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,355</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,653</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7,197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,046</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">603</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Realized Gain (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,847</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,285</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,713</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(14,799</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in Unrealized Appreciation (Depreciation):</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(15,877</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(12,306</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(40,454</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">108</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,122</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,667</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8,868</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(275</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,756</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,321</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency assets and liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">691</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,731</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in Unrealized (Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(18,989</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(18,012</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(49,146</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,489</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Increase (Decrease) in Net Assets Resulting from Operations</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(101</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10,190</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8,491</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Foreign tax withholdings</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>20</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_7"></A>Consolidated Statements of Operations </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="80%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Year Ended June 30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Dynamic</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit
and</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Mortgage</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>Income&nbsp;Fund</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Dynamic</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Income&nbsp;Fund</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Investment Income:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest, net of foreign taxes*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">368,116</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">222,967</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Dividends</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">622</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">368,123</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">223,589</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expenses:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">57,918</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">27,247</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Trustee fees and related expenses</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">427</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">199</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest expense</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">33,458</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,102</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Miscellaneous expense</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">93</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">61</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total Expenses</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">91,896</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">46,609</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">276,227</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">176,980</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Realized Gain (Loss):</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(84,858</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,907</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(25,410</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,245</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25,586</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20,502</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,641</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(37</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Realized (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(88,323</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in Unrealized Appreciation (Depreciation):</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(276,391</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(135,465</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8,980</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(25,040</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,083</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(594</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency assets and liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">30,476</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,872</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in Unrealized (Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(240,018</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(157,227</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Increase (Decrease) in Net Assets Resulting from Operations</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(52,114</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,556</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Foreign tax withholdings</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>21</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_8"></A>Statements of Changes in Net Assets </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM Fund, Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO&nbsp;Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June&nbsp;30,&nbsp;2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For&nbsp;the&nbsp;Period<BR>January&nbsp;1,&nbsp;2015&nbsp;-<BR>June 30,
2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>December&nbsp;31,&nbsp;2014</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June&nbsp;30,&nbsp;2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For&nbsp;the&nbsp;Period<BR>April&nbsp;1,&nbsp;2015&nbsp;-<BR>June&nbsp;30,&nbsp;
2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>March&nbsp;31,&nbsp;2015</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Increase (Decrease) in Net Assets from:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Operations:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,041</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,058</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,813</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,559</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,039</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net realized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,847</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,586</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">64</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,285</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8,310</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(19,967</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net change in unrealized appreciation (depreciation)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(18,989</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,577</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(18,012</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,604</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,460</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Increase (Decrease) in Net Assets Resulting from&nbsp;Operations</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(101</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,067</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,877</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10,190</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,265</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,532</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Distributions to Common Shareholders:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">From net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,077</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,537</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(12,094</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(21,340</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,782</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,021</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">From net realized capital gains</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Tax basis return of capital</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,918</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Distributions to Common Shareholders<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(e)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,077</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,537<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(12,094</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,258</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,782<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,021</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Common Share Transactions**:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Issued as reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">72</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">178</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,607</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">391</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Increase (Decrease) in Net Assets</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,136</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(398</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,039</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(31,841</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">874</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(18,799</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets Applicable to Common Shareholders:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Beginning of year or period</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">123,235</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">123,633</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">128,672</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">135,468</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">134,594</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">153,393</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">End of year or period*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;112,099</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;123,235</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;123,633</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;103,627</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;135,468</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;134,594</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Including undistributed (overdistributed) net investment income of:</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,244</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(681</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(540</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,326</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,169</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,939</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>** Common Share Transactions:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Shares issued as reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">96</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">78</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from December 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from March 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from October 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from January 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(e)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2(c) in the Notes to
Financial Statements for more information. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a
reduction of the amount of days in the period ended June&nbsp;30,&nbsp;2015. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>22</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
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<TR>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Income Opportunity Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Strategic Income Fund, Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="3"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June&nbsp;30,&nbsp;2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For the Period<BR>November&nbsp;1,&nbsp;2014&nbsp;-<BR>June 30,
2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>October&nbsp;31,&nbsp;2014</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year&nbsp;Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June&nbsp;30,&nbsp;2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For the Period<BR>February&nbsp;1,&nbsp;2015&nbsp;-<BR>June 30,
2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>January&nbsp;31,&nbsp;2015</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5" COLSPAN="3"></TD>
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<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
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<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34,942</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,106</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">40,467</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">31,977</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,571</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">37,303</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,713</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,967</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18,425</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(14,799</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11,358</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15,398</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(49,146</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(9,047</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(20,170</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,489</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,166</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(38,494</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;<BR>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;<BR>(8,491</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,092</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38,722</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16,763</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,207</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(34,129</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(34,865</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(42,972</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(41,907</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(16,651</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(42,226</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,634</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,498</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(224</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(41,763</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(46,587<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(42,972</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(41,907</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(16,651<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(f)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(42,226</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">193</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">216</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,321</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,577</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,638</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,199</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(50,061</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(36,279</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,929</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(25,641</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,750</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,820</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">388,353</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">424,632</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">426,561</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">357,692</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">355,942</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">379,762</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;338,292</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;388,353</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;424,632</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;332,051</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;357,692</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;355,942</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,500</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,419</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,094</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,926</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,365</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,692</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="3"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">416</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">182</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">432</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>23</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_9"></A>Consolidated Statements of Changes in Net Assets </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Credit and Mortgage Income Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Income Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June 30, 2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For the Period</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>January&nbsp;1,&nbsp;2015&nbsp;-</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>June 30, 2015<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended<BR>December&nbsp;31,&nbsp;2014</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>June 30, 2016</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>For&nbsp;the&nbsp;Period</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="white-space:nowrap">April&nbsp;1,&nbsp;2015&nbsp;-</FONT></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>June&nbsp;30,&nbsp;2015<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>March&nbsp;31,&nbsp;2015</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Increase (Decrease) in Net Assets from:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Operations:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">276,227</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">104,043</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">245,912</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">176,980</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">36,172</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">147,564</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net realized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(88,323</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">29,622</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,922</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">37,320</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">76,891</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net change in unrealized appreciation (depreciation)</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(240,018</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18,523</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(85,852</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(157,227</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(15,937</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(99,042</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Increase (Decrease) in Net Assets Resulting from&nbsp;Operations</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(52,114</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">152,188</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">172,982</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,556</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">57,555</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">125,413</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Distributions to Common Shareholders:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">From net investment income</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(299,572</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(128,645</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(339,486</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(193,676</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(28,651</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(187,696</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">From net realized capital gains</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(45,024</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Distributions to Common Shareholders<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(299,572</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(128,645<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(339,486</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(238,700</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(28,651<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(187,696</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Common Share Transactions**:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Offering costs charged to paid in capital in excess of par</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Issued as reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,752</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net increase (decrease) resulting from common share transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,752</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Increase (Decrease) in Net Assets</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(351,686</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,543</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(166,527</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(204,392</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28,904</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(60,974</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Assets Applicable to Common Shareholders:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Beginning of year or period</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,155,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,132,146</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,298,673</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,426,891</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,397,987</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,458,961</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">End of year or period*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;2,804,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;3,155,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;3,132,146</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,222,499</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,426,891</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,397,987</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Including undistributed (overdistributed) net investment income&nbsp;of:</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">40,338</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(9,006</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(24,101</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35,233</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35,117</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22,795</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>** Common Share Transactions:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Shares issued as reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">546</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">41</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from December 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fiscal year end changed from March 31<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">st</SUP> to June 30<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP>. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(c)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2(c) in the Notes to
Financial Statements for more information. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(d)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a
reduction of the amount of days in the period ended June&nbsp;30,&nbsp;2015. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>24</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_10"></A>Statements of Cash Flows </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Year Ended June&nbsp;30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM&nbsp;Fund,<BR>Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Global<BR>StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp;<BR>Income<BR>Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Income<BR>Opportunity<BR>Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Strategic<BR>Income&nbsp;Fund,<BR>Inc.</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash Flows Provided by Operating Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net increase (decrease) in net assets resulting from operations</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(101</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10,190</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8,491</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,689</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by Operating
Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Purchases of long-term securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(36,851</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(42,314</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(87,780</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(328,129</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from sales of long-term securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">45,783</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">50,220</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">140,747</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">391,185</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Purchases) Proceeds from sales of short-term portfolio investments, net</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,451</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,806</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,577</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,408</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Increase) decrease in deposits with counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(974</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,659</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(663</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,808</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Increase) decrease in receivable for investments sold</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,964</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(210</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,284</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,061</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Decrease in interest and/or dividends receivable</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">160</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,121</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">771</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Payments on) exchange-traded or centrally cleared financial derivative
instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(200</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,297</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,438</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(28,663</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from (Payments on) over the counter financial derivative
instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">91</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,583</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,224</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,004</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Increase) decrease in other assets</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Increase (decrease) in payable for investments purchased</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,112</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,162</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">48,778</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Increase (decrease) in deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(658</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,331</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Decrease) in accrued management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(26</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(133</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from foreign currency transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">540</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">39</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Decrease) in other liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(58</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(53</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(81</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(313</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Net Realized (Gain) Loss</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,799</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,587</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,374</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">307</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(241</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,674</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,203</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,355</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,653</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(7,197</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,046</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(603</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Net Change in Unrealized (Appreciation) Depreciation</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15,877</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,306</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">40,454</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(108</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,122</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,667</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8,868</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">275</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7,756</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,321</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency assets and liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(691</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,731</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net amortization (accretion) on investments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">182</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,756</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(235</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Cash Provided by Operating Activities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,550</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,113</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">82,639</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">137,002</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash Flows (Used for) Financing Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cash dividend paid*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,034</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(21,633</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(41,568</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(38,297</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">281,055</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">259,829</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">857,220</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">621,881</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(282,231</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(249,140</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(898,618</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(656,749</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from sale-buyback transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,284,091</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on sale-buyback transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(4,348,000</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from mortgage dollar rolls</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,217,534</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on mortgage dollar rolls</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,217,380</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">430</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">428</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,777</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(430</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(428</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,325</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Cash (Used for) Financing Activities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(12,210</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10,944</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(83,514</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(136,920</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Increase (Decrease) in Cash and Foreign Currency</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">340</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(831</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(875</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash and Foreign Currency:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Beginning of year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">82</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">886</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">482</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">End of year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">422</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">55</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">434</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">564</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,607</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">193</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,577</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Supplemental Disclosure of Cash Flow Information:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest expense paid during the year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,108</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">916</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,851</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,157</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>A zero balance may reflect actual amounts rounding to less than
one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>25</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_11"></A>Consolidated Statements of Cash Flows </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="79%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Year Ended June&nbsp;30, 2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(Amounts in thousands<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Dynamic<BR>Credit and<BR>Mortgage<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO<BR>Dynamic<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash Flows Provided by Operating Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net increase (decrease) in net assets resulting from operations</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(52,114</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,556</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by
Operating&nbsp;Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Purchases of long-term securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,723,845</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(514,007</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from sales of long-term securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,664,438</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">454,082</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Purchases) from sales of short-term portfolio investments, net</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(25,992</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,624</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Increase) in deposits with counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(83,354</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,023</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Decrease in receivable for investments sold</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">109,335</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,153</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Decrease in interest and/or dividends receivable</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,952</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,406</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Payments on) exchange-traded or centrally cleared financial derivative
instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(16,810</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(22,820</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18,645</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24,395</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Decrease in other assets</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Increase (decrease) in payable for investments purchased</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(68,128</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17,398</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Decrease) in deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8,048</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Decrease) in accrued management fees</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,327</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(308</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Payments on) foreign currency transactions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(4,675</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(68</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Decrease) in other liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(216</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(110</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Net Realized (Gain) Loss</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">84,858</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,907</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25,410</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,245</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(25,586</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(20,502</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,641</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">37</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><I>Net Change in Unrealized (Appreciation) Depreciation</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Investments in securities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">276,391</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">135,465</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(8,980</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">25,040</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter financial derivative instruments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,083</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">594</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Foreign currency assets and liabilities</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(30,476</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,872</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net amortization (accretion) on investments</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(29,295</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(14,489</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Cash Provided by Operating Activities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">116,911</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">118,948</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash Flows (Used for) Financing Activities:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Increase in overdraft due to custodian</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">593</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">112</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Cash dividend paid*</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(298,500</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(223,351</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">8,580,639</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,211,883</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on reverse repurchase agreements</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(8,425,520</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(3,120,138</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Proceeds from deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">50,713</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,890</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Payments on deposits from counterparty</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(48,186</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,451</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Cash (Used for) Financing Activities</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(140,261</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(133,055</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net (Decrease) in Cash and Foreign Currency</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23,350</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(14,107</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cash and Foreign Currency:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Beginning of year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">24,087</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,260</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">End of year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">737</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">153</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">* Reinvestment of distributions</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">14,752</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Supplemental Disclosure of Cash Flow Information:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Interest expense paid during the year</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26,852</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16,179</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #cccccc"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>A zero balance may reflect actual amounts rounding to less than
one thousand. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>26</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_28"></A>Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PCM Fund, Inc.</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT
STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES&nbsp;172.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS&nbsp;4.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cactus Wellhead LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/31/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">491</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Energy Future Intermediate Holding Co. LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 12/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,274</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.210% due 01/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 06/19/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">826</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $6,532)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,462</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS &amp; NOTES&nbsp;27.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;10.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Blackstone CQP Holdco LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.296% due 03/19/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,701</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cantor Fitzgerald LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 10/15/2019 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">740</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">832</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Communications Sales &amp; Leasing, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 10/15/2023 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">610</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies Finance LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 04/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">187</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 06/01/2020 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019 (g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,435</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 01/15/2019 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.450% due 06/15/2018 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">711</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">771</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Springleaf Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 12/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">804</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Toll Road Investors Partnership LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/15/2045 (d)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,631</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;11,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;15.4%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ancestry.com Holdings LLC (9.625% Cash or 10.375%&nbsp;PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.625% due 10/15/2018 (b)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">255</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BMC Software Finance, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">72</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 10/15/2019 (b)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,017</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 02/15/2020 (f)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,143</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,907</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020 (f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">182</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>California Resources Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 12/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">573</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">408</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chesapeake Energy Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.878% due 04/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CVS Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.880% due 01/10/2028 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,361</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,537</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.507% due 01/10/2032 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">851</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diamond 1 Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.450% due 06/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 06/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Forbes Energy Services Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/15/2019 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Global Geophysical Services, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 05/01/2017 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">285</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intrepid Aviation Group Holdings LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2019 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JC Penney Corp., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 07/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Security Services Borrower LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 05/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reynolds Group Issuer, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.127% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Scientific Games International, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.000% due 12/01/2022 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">650</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">531</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 12/15/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,140</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spanish Broadcasting System, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.500% due 04/15/2017 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,290</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UAL Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.636% due 01/02/2024 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">592</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 07/15/2018 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.400% due 05/01/2018 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">168</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCP, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/21/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Warren Resources, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 08/01/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Westmoreland Coal Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 01/01/2022&nbsp;(i) </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,264</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;2.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Frontier Communications Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 09/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 09/15/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Illinois Power Generating Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 04/01/2020 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,515</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.950% due 06/01/2032 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,024</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.125% due 06/15/2024 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,246</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds &amp; Notes (Cost $35,306)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;30,838</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS &amp; NOTES&nbsp;1.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ARKANSAS&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special
Tax Bonds, Series 2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.200% due 03/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WEST VIRGINIA&nbsp;0.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.467% due 06/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds &amp; Notes (Cost&nbsp;$1,306)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,306</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES&nbsp;2.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.100% due 05/25/2020 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,213</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.734% due 01/25/2021 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,686</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.841% due 10/25/2020 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,703</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.615% due 06/25/2041 (a)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.996% due 12/25/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $2,227)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>2,390</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES&nbsp;66.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.956% due 01/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">258</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.246% due 04/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">346</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.695% due 07/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.907% due 12/20/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">486</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.195% due 03/20/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.806% due 03/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">164</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 10/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">906</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.871% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">346</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.100% due 06/20/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">464</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">473</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.396% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">219</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCAP LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.638% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">87</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCRR Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.858% due 07/17/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,169</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">871</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.826% due 11/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,030</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">711</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.860% due 08/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">847</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.952% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">58</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.999% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">382</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.062% due 08/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.095% due 01/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">72</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.828% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">225</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.012% due 07/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">192</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.910% due 06/11/2040 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,503</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRAD Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,424</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.550% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">453</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CBA Commercial Small Balance Commercial Mortgage</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.540% due 01/25/2039 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">638</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chase Mortgage Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">318</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.816% due 05/15/2043 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,175</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.901% due 12/10/2049 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,574</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.777% due 11/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">237</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">207</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.861% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">871</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.022% due 08/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">145</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.561% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,916</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,072</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.909% due 09/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">290</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">249</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CitiMortgage Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 04/25/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>COBALT Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.223% due 08/15/2048 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,007</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.302% due 07/10/2046 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">690</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">342</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 02/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,056</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.437% due 12/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,862</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">843</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,599</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.093% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">248</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.592% due 02/20/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.699% due 09/20/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">199</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.774% due 09/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">802</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">448</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse First Boston Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 02/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">93</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.896% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">330</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,850</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">223</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>FFCA Secured Franchise Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.961% due 09/18/2027 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,069</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Alternative Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.513% due 08/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.936% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GS Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.585% due 08/10/2043 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,514</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">706</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.658% due 05/10/2045 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,884</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.215% due 08/10/2043 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,670</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSR Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.903% due 03/25/2047 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,718</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>27</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PCM Fund,
Inc.</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HarborView Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.698% due 01/19/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,018</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.253% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">165</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.159% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">254</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.356% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">625</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,578</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Chase Commercial Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.594% due 03/12/2039 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">533</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Chase Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.628% due 02/15/2046 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,477</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.794% due 02/12/2051 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,056</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,097</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.887% due 02/12/2049 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,359</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.131% due 02/15/2051</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.450% due 05/12/2034 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,111</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Commercial Mortgage-Backed Securities&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.702% due 03/18/2051 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.948% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">144</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>LB Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.600% due 10/15/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.118% due 07/15/2044 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">814</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>LB-UBS Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.347% due 11/15/2038 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">806</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.407% due 11/15/2038 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">710</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">555</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.518% due 02/15/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.562% due 02/15/2040 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">720</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">543</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 08/25/2021 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">486</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.930% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">267</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">238</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">580</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Luminent Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.616% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">996</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Adjustable Rate Mortgages Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.904% due 11/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">695</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset Securitization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">726</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch Mortgage Investors Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.873% due 07/25/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">311</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">284</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.113% due 11/25/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">159</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.790% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">275</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.435% due 11/12/2049 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,306</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.447% due 02/12/2044 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;2,024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.692% due 04/15/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.809% due 12/12/2049 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">462</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.010% due 11/15/2030 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">777</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">794</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.941% due 01/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">329</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">362</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.320% due 03/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,538</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Regal Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 09/29/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">196</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.982% due 01/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">558</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">368</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">372</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securitization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">301</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Funding Mortgage Securities, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">398</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Capital Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.223% due 08/16/2048 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.336% due 05/16/2047 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.068% due 02/17/2051</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,744</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.821% due 01/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">457</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.073% due 04/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">552</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.361% due 11/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.829% due 09/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">347</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 08/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,157</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">870</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TBW Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wachovia Bank Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.835% due 10/15/2041 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,409</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.509% due 04/15/2047 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">823</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.972% due 03/23/2045 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.943% due 06/25/2044</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">693</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.506% due 12/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">553</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,960</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 07/25/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo-RBS Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.990% due 02/15/2044 (a)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,222</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency Mortgage-Backed Securities<BR>(Cost $67,237)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;74,638</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES&nbsp;58.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Asset-Backed Securities Corp. Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.548% due 02/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,676</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 12/25/2034 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,174</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.698% due 06/21/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">156</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Associates Manufactured Housing
<FONT STYLE="white-space:nowrap">Pass-Through&nbsp;Certificates</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.150% due 03/15/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">425</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bayview Financial Acquisition Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.734% due 12/28/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">203</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,907</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.922% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">412</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">389</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bombardier Capital Mortgage Securitization Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.830% due 06/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,190</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Centex Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 01/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,558</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 12/25/2036 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,174</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,119</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 03/25/2037 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,454</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.889% due 11/25/2045 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,300</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Finance Securitizations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.960% due 05/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">391</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.163% due 03/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">960</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">857</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 12/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,659</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,168</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,147</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2047 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,579</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 04/25/2047 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,584</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 09/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,188</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 05/25/2036 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,175</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.103% due 06/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.329% due 10/25/2032 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">948</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EMC Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.521% due 02/25/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">344</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fremont Home Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 04/25/2036 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,606</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GE Capital Mortgage Services, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.705% due 04/25/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">151</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSAMP Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.253% due 06/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,200</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSI Asset Securitization Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.563% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,905</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Home Equity Mortgage Loan
<FONT STYLE="white-space:nowrap">Asset-Backed&nbsp;Trust</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 04/25/2037 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,802</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,708</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Keystone Owner Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 01/25/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">56</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.420% due 11/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">374</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.563% due 08/25/2036 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,861</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,896</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley ABS Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.233% due 12/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">216</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">175</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Renaissance Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.238% due 09/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,337</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.193% due 09/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.548% due 12/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">811</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.913% due 06/25/2031 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,748</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.143% due 08/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,350</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securitized Asset-Backed Receivables LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 10/25/2035 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Southern Pacific Secured Asset Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 07/25/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Investment Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,986</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.953% due 10/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCFC Manufactured Housing Contract</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.900% due 01/15/2028 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">560</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UPS Capital Business Credit</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.177% due 04/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,856</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities<BR>(Cost $69,833)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;65,865</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SemGroup Corp. &#145;A&#146;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,654</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $74)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>86</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WARRANTS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global Geophysical Services, Inc. - Exp. 05/01/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,239</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Warrants (Cost $12)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS&nbsp;11.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS (h) 4.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM NOTES&nbsp;5.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Federal Home Loan Bank</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.279% due 07/01/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.294% due 07/06/2016 -<BR>07/08/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.300% due 07/08/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.314% due 08/05/2016 -<BR>08/11/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.316% due 08/05/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.325% due 08/10/2016 -<BR>08/12/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.340% due 07/07/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.345% due 07/29/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;5,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>28</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="54%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS&nbsp;1.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.152% due<BR>07/21/2016 (c)(d)(l)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost&nbsp;$12,425)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>12,425</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities (Cost&nbsp;$194,952)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>193,010</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 172.2%<BR>(Cost&nbsp;$194,952)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;193,010</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments (j)(k) (1.4)%</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net $(1,628))</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(1,569</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (70.8)%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(79,342</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="5"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>112,099</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="font-family:Arial Narrow" SIZE="1">NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS
IN THOUSANDS*):</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"> </FONT></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Payment in-kind security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents a yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(f)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(g)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD WIDTH="39%"></TD>
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<TD></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Coupon</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500%</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/08/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;1,415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.19%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(h)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
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<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.750%</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Treasury Notes 1.250% due 06/30/2023</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(5,209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="17"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(5,209</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;5,100</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;5,100</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Date</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable&nbsp;for</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reverse</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Agreements</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(0.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,871</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,871</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.531</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,097</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(956</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(957</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>29</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PCM Fund,
Inc.</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="34%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Date</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable&nbsp;for</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reverse</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Agreements</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(910</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,421</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,424</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,277</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,537</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(588</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(891</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,067</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(786</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,566</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/14/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(977</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/08/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/11/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,422</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/08/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,479</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/14/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(828</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.537</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,084</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(86,869</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Open maturity reverse repurchase agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June 30, 2016 was $(84,229) at a weighted average interest rate of
1.478%. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is
a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(i)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $102,905 and cash of $1,110 have been pledged as collateral under the terms of the following master
agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT><BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Borrowings&nbsp;and<BR>Other&nbsp;Financing<BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,702</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">959</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">651</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,797</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(22,797</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;31,198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings and Other Financing Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;5,100</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(86,869</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding
master netting arrangements. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>30</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="20"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,771</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,465</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(4,030</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(20,733</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(31,591</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(25,208</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(81,562</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (5)</SUP></B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(81,562</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Unsettled reverse repurchase agreements liability of $(5,307) is outstanding at period end. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(j)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP
AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="22%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation&nbsp;Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/16/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">89</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">233</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>276</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>81</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;17</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(6</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Cash of $486 has been pledged as collateral for exchange-traded
and centrally cleared financial derivative instruments as of June 30, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="53%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Exchange-Traded or Centrally Cleared</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;17</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;17</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(6</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(6</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(k)&nbsp;&nbsp;FINANCIAL
DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP
AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed
<BR>Receive&nbsp;Rate</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333">
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333">
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ABX.HE.AA.6-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;6,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ABX.HE.PENAAA.7-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/25/2037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(347</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,628</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,628</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;48</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,580</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced&nbsp;index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing market values, in absolute
terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PCM Fund,
Inc.</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary by counterparty of the market value
of OTC financial derivative instruments and collateral pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(l)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $1,726 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="38%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master
netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR
VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary of the fair valuation of the Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,355</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,048</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="25"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>32</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair valuations according to
the inputs used as of June 30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Value&nbsp;at<BR>06/30/2016</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Arkansas</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">West Virginia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;73,941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;74,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Energy</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Value&nbsp;at<BR>06/30/2016</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188,423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">193,010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;186,854</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;191,441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June 30, 2016. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="34%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
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<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized<BR>Gain/(Loss)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held at<BR>06/30/2016<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">424</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(87</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(32</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">672</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Warrants</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;9,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;50</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input&nbsp;Value(s)</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(%&nbsp;Unless</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Noted</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Otherwise)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Third Party Vendor</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Broker Quote</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference Instrument</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;movement</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37.00-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency <FONT STYLE="white-space:nowrap">Mortgage-Backed&nbsp;Securities</FONT></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP>
<P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(2)</SUP></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.30-102.63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy&nbsp;Pricing</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.00-63.90</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at June 30, 2016 may be due to an investment no longer held or categorized as Level 3 at period&nbsp;end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>33</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_29"></A>Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund </FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="61%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES&nbsp;158.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS&nbsp;0.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.210% due 01/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX (13.000% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.000% due 04/10/2049&nbsp;(b)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 06/19/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">908</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">715</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $1,177)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>971</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS &amp; NOTES&nbsp;50.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;26.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AGFC Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/15/2067 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Australia &amp; New Zealand Banking Group Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 06/15/2026&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Bilbao Vizcaya Argentaria S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.750% due 02/18/2020&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco do Brasil S.A. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/18/2024&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Espirito Santo S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 01/21/2019 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.750% due 01/15/2018 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays Bank PLC </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14.000% due 06/15/2019&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/15/2019&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 09/15/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Blackstone CQP Holdco LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>9.296% due 03/19/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BNP Paribas S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 08/19/2025&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,078</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Communications Sales &amp; Leasing, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>8.250% due 10/15/2023 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cooperatieve Rabobank UA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 03/19/2020 (i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 06/30/2019&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Agricole S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 06/23/2026&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 01/23/2024&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSBC Holdings PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 09/16/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/29/2023&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies Finance LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 04/15/2021 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 06/01/2020 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019&nbsp;(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lloyds Banking Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.625% due 06/27/2023&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,766</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Nationwide Building Society</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.250% due&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.450% due 06/15/2018 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">811</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>PHH Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 09/01/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Pinnacol Assurance </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 06/25/2034&nbsp;(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Rio Oil Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 07/06/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 08/10/2020&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 08/10/2025&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Santander UK Group Holdings PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 06/24/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Springleaf Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 12/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 03/02/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 04/02/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Toll Road Investors Partnership LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/15/2045&nbsp;(d)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;27,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;20.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Altice Financing S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 05/15/2026&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ancestry.com Holdings LLC (9.625% Cash or 10.375%&nbsp;PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.625% due 10/15/2018&nbsp;(b)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BMC Software Finance, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">87</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 10/15/2019&nbsp;(b)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 02/15/2020&nbsp;(g)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;3,667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020&nbsp;(g)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chesapeake Energy Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.878% due 04/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Corp. GEO S.A.B. de C.V.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 06/30/2020 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CVS Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.880% due 01/10/2028&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diamond 1 Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.450% due 06/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 06/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DISH DBS Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 07/01/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DriveTime Automotive Group, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 06/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">711</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Enterprise Inns PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 05/09/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Forbes Energy Services Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fresh Market, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/01/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Global Geophysical Services, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 05/01/2017&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Harvest Operations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.330% due 04/14/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 03/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">489</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 09/15/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intelsat Luxembourg S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 06/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 06/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intrepid Aviation Group Holdings LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,673</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JC Penney Corp., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 07/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Micron Technology, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 09/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Millar Western Forest Products Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 04/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Numericable SFR S.A. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 05/01/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">819</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Austria GmbH</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.375% due 04/01/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 06/01/2018 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Security Services Borrower LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>9.250% due 05/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reynolds Group Issuer, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.127% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Scientific Games International, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>10.000% due 12/01/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 12/15/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="58%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spanish Broadcasting System, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.500% due 04/15/2017&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tembec Industries, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 12/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UAL Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.636% due 01/02/2024&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.400% due 05/01/2018&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Unique Pub Finance Co. PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.659% due 06/30/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Westmoreland Coal Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 01/01/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;3.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Frontier Communications Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 09/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 09/15/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Illinois Power Generating Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 04/01/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.950% due 06/01/2032&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Odebrecht Drilling Norbe Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.350% due 06/30/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Odebrecht Offshore Drilling Finance Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.625% due 10/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">798</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petrobras Global Finance BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 01/27/2041&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.850% due 06/05/2115</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 01/20/2040&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 03/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sierra Hamilton LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.250% due 12/15/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Capital Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 11/15/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds &amp; Notes<BR>(Cost $60,152)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;52,494</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS &amp; NOTES&nbsp;1.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ILLINOIS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chicago, Illinois General Obligation Bonds, Series 2015</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 01/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 01/01/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WEST VIRGINIA&nbsp;1.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.467% due 06/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds &amp; Notes<BR>(Cost $1,701)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,725</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES&nbsp;3.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.597% due 03/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.697% due 11/25/2039&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">91</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.753% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.847% due 01/25/2038&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.927% due 03/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.947% due 12/25/2037&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.957% due 06/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.987% due 04/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.997% due 04/25/2037&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">284</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.147% due 11/25/2035&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.347% due 11/25/2036&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;2,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.747% due 02/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 12/25/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 06/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.800% due 06/25/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.107% due 12/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.565% due 08/25/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.841% due 10/25/2020&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,426</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.998% due 03/15/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>34</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="63%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.128% due 09/15/2036&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.138% due 09/15/2036&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $2,791)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;3,230</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY OBLIGATIONS&nbsp;1.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>U.S. Treasury Notes</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500% due 08/31/2018&nbsp;(l)(n)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Treasury Obligations (Cost&nbsp;$999)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,019</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES&nbsp;62.4%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>15.943% due 09/25/2035&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.907% due 12/20/2034&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.070% due 03/20/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.846% due 01/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America/Merrill Lynch Commercial Mortgage,&nbsp;Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.956% due 03/11/2041&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,967</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCAP LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 11/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCRR Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.858% due 07/17/2040&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>3.167% due 07/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.819% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">283</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.902% due 09/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.574% due 02/11/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">991</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Structured Products, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.690% due 12/26/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.878% due 01/26/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">907</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRAD Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.550% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CBA Commercial Small Balance Commercial Mortgage</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.540% due 01/25/2039&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Charlotte Gateway Village LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.410% due 12/01/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chevy Chase Funding LLC Mortgage-Backed&nbsp;Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 08/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.038% due 03/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">621</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.561% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.202% due 10/10/2046&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;77,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.302% due 07/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.658% due 05/20/2046&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">966</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 12/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 10/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">788</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 05/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.649% due 10/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.952% due 02/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 08/25/2034&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">641</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 02/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 03/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">97</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.697% due 07/25/2036&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18.553% due 07/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,813</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.093% due 03/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.233% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.592% due 02/20/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.693% due 10/20/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.724% due 10/20/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.807% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.964% due 10/20/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">583</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.002% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 08/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.849% due 02/15/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.268% due 02/15/2041&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.000% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DBUBS Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.652% due 11/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">473</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Alternative Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.589% due 11/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.731% due 01/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GMAC Mortgage Corp. Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>3.500% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GS Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.215% due 08/10/2043&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">769</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSR Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.980% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.079% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 06/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HarborView Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.048% due 04/19/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.313% due 11/19/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.954% due 02/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.163% due 08/19/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSI Asset Loan Obligation Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.823% due 01/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">555</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.716% due 06/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.778% due 06/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMBB Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.285% due 11/15/2045&nbsp;(a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;76,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,408</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Chase Commercial Mortgage Securities&nbsp;Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.727% due 05/15/2041&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.782% due 04/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 01/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 06/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Luminent Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.616% due 12/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 10/25/2046&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Adjustable Rate Mortgages Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.904% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.279% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch Alternative Note Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.523% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch/Countrywide Commercial Mortgage
Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.378% due 08/12/2048&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.569% due 12/15/2044&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,277</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Opteum Mortgage Acceptance Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.723% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.097% due 11/25/2036&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">794</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Provident Funding Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.022% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RBSSP Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 09/26/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.341% due 12/26/2034&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">257</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.982% due 01/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 12/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Capital Funding
Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.068% due 02/17/2051&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.855% due 05/25/2035&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.821% due 01/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">383</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.859% due 09/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.073% due 04/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.082% due 09/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.361% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 02/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Suntrust Adjustable Rate Mortgage Loan
Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.993% due 01/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Theatre Hospitals PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.588% due 10/15/2031&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,057</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wachovia Bank Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.935% due 01/15/2041&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,555</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.147% due 02/15/2051&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.972% due 03/23/2045&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 07/25/2045</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.167% due 01/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.506% due 12/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.411% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates Trust
</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.207% due 04/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage-Backed Securities
Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo-RBS Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.507% due 12/15/2046&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;30,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency Mortgage-Backed Securities (Cost $51,340)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;64,713</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES&nbsp;16.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Apidos CLO</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 07/22/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22.003% due<BR>03/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,072</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bombardier Capital Mortgage Securitization
Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.830% due 06/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">788</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Carrington Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 08/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Centex Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 12/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.972% due 01/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">535</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Finance Securitizations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.960% due 05/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">324</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 12/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 04/25/2047&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,537</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.003% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.329% due 10/25/2032&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">948</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EMC Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.393% due 05/25/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">454</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.101% due 05/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.420% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.233% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley ABS Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.513% due 05/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.133% due 03/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.572% due 06/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">89</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Soundview Home Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.513% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">85</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>South Coast Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.890% due 01/06/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.890% due 01/06/2041&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;14,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>35</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund</FONT> <FONT
STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="58%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 05/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;364</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 06/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">442</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Asset-Backed Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.513% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities<BR>(Cost $16,260)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;17,235</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SOVEREIGN ISSUES&nbsp;0.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Costa Rica Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 04/04/2044&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Republic of Greece Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 02/24/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.750% due 04/17/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sovereign Issues (Cost $810)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>880</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Petroleo e Gas S.A. <FONT STYLE="white-space:nowrap">SP&nbsp;-&nbsp;ADR</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,706</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIALS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC (h)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;103,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $154)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>66</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WARRANTS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Global Geophysical Services, Inc.&nbsp;- Exp. 05/01/2049</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Warrants (Cost $15)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PREFERRED SECURITIES&nbsp;0.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;0.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AgriBank FCB</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 01/01/2024 (f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Preferred Securities (Cost $250)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>264</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS&nbsp;21.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS (i) 1.9%</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM NOTES&nbsp;8.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Federal Home Loan Bank</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.304% due 08/29/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.314% due 08/05/2016 -<BR>08/11/2016 (d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.325% due<BR>08/12/2016&nbsp;(d)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS&nbsp;11.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.192% due 07/21/2016 -<BR>12/08/2016 (c)(d)(l)(n)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;11,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost $22,015)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>22,016</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities<BR>(Cost $157,664)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>164,613</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="3"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 158.9%<BR>(Cost $157,664)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>164,613</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments (k)(m) (1.2)%</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net $(1,488))</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(1,244</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (57.7)%</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(59,742</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;103,627</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS AND
UNITS): </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Payment in-kind security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents a yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(f)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(g)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(h)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC 8.500% due 08/08/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;1,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pinnacol Assurance 8.625% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TIG FinCo PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.06</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;3,046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,977</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.87</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>36</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER FINANCING TRANSACTIONS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(i)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.750</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.250% due 06/30/2023</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,305</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 2.375% due 12/31/2020</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,047</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,005</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,005</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="34%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,908</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.126</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.561</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(786</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(788</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(628</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,721</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.482</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/13/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/21/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,742</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.207</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/10/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,718</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/05/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,053</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(612</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(955</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>37</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund</FONT> <FONT
STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,422</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(870</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(78,833</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Open maturity reverse repurchase agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June 30, 2016 was $(70,790) at a weighted average interest rate of
1.472%. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is
a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(j)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $97,744 have been pledged as collateral under the terms of the following master agreements as of
June&nbsp;30,&nbsp;2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Agreement</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Proceeds</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>to
be</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Received</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reverse</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Agreements</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>Transactions</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowings&nbsp;and</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Other&nbsp;Financing</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>Transactions</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(Received)/Pledged</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,952</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,888</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,064</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,064</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(12,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;14,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">489</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings and Other Financing Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,005</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(78,833</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding
master netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="55%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90 days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="20"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38,961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,184</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(21,458</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(39,162</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(14,094</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(76,898</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(76,898</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Unsettled reverse repurchase agreements liability of $(1,935) is outstanding at period end. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>38</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(k)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PURCHASED OPTIONS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Strike<BR>Price</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B># of<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - CME S&amp;P 500 Index July Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,960.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Purchased Options</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;357</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;57</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WRITTEN OPTIONS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Strike<BR>Price</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B># of<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Call - CME S&amp;P 500 Index July Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,065.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Written Options</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(917</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(917</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FUTURES CONTRACTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Description</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Type</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Month</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B># of<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Appreciation/<BR>(Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">E-mini S&amp;P 500 Index September Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Long</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">S&amp;P 500 Index September Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Long</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Futures Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;58</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;598</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="21%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/19/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"> 4,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/19/2023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">304,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,724</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/18/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">19,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR *</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/21/2026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">277,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,429</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="18"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;27,358</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;3,429</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;576</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(294</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">This security has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. </FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR
CENTRALLY CLEARED SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a
summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(l)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $8,176 and cash of $19,201 have been pledged as collateral for exchange-traded and centrally cleared
financial derivative instruments as of June 30, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </B></FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Exchange-Traded or Centrally Cleared</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;57</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;598</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;576</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;1,231</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(917</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(294</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,211</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>39</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund</FONT> <FONT
STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(m)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FORWARD FOREIGN CURRENCY CONTRACTS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Month</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>be&nbsp;Delivered</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>be&nbsp;Received</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized&nbsp;Appreciation/</B></FONT><br><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(Depreciation)
</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AZD</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,955</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,956</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">252</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ILS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOK</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SEK</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">97</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">812</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HKD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">326</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SGD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">853</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NAB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">97</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HKD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CHF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DKK</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Forward Foreign Currency Contracts</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;392</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(131</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WRITTEN OPTIONS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS
FOR THE PERIOD ENDED JUNE 30, 2016: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="36%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Balance at<BR>Beginning&nbsp;of&nbsp;Period</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Closing&nbsp;Buys</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expirations</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Exercised</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Balance&nbsp;at<BR>End&nbsp;of&nbsp;Period</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"># of Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Premiums</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(11,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>40</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON ASSET-BACKED
SECURITIES - SELL PROTECTION<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="49%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reference Obligation</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed <BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>Paid/(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at Value<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 6.250% due 07/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed <BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ABX.HE.AA.6-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ABX.HE.PENAAA.7-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/25/2037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(938</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of
the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing
market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined
under the terms of the agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>Paid</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1-Year BRL-CDI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.055%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>TOTAL RETURN SWAPS ON EQUITY
INDICES </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="34%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Underlying&nbsp;Reference</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>#&nbsp;of&nbsp;Units</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financing Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>Paid/(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NDDUEAFE&nbsp;Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,232</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR less a specified spread</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/11/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;10,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NDDUEAFE&nbsp;Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,937</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR less a specified spread</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/07/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
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<TD>&nbsp;</TD>
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<TD>&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
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<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
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<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
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<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(928</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(597</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,525</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
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</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any
negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying&nbsp;reference.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(n)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $2,096 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AZD</FONT></P></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;292</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;292</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(17</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(29</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;263</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;263</FONT></TD>
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<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
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<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>41</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund</FONT> <FONT
STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="33%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,057</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Over the Counter</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;392</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;392</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;(131</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,525</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,656</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master
netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR
VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary of the fair valuation of the Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Written Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;1,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;2,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="24"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,595</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,595</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Written Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,248</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,248</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(723</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(723</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">241</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(7,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>42</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Written Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(684</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(684</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(1,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(6,271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(6,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair
valuations according to the inputs used as of June 30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="54%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Illinois</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">West Virginia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;63,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;64,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Preferred Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="49%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">158,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;164,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="9"></TD>
<TD HEIGHT="21" COLSPAN="4"></TD>
<TD HEIGHT="21" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="17"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally&nbsp;cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;156,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;163,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June 30, 2016. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized<BR>Gain/(Loss)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held at<BR>06/30/2016<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,489</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">797</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Warrants</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;10,063</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>43</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#7f7f7f"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund</FONT> <FONT
STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT
STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level
3 of the fair value hierarchy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TD WIDTH="29%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input Value(s)<BR>(% Unless<BR>Noted<BR>Otherwise)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments&nbsp;in&nbsp;Securities,&nbsp;at&nbsp;Value</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference Instrument</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;movement</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37.00-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.30-102.63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Third Party Vendor</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Broker Quote</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">74.56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at June 30, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>44</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_30"></A>Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income Opportunity Fund</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT
STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
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<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
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<TD></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES&nbsp;164.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS&nbsp;4.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Energy Future Intermediate Holding Co. LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 12/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.210% due 01/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX (13.000% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.000% due 04/10/2049&nbsp;(b)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 06/19/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,110</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $15,352)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;13,556</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS &amp; NOTES&nbsp;55.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;23.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AGFC Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.000% due 01/15/2067&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Continental SAECA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>8.875% due 10/15/2017&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco do Brasil S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.250% due 04/15/2024&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Espirito Santo S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>4.000% due 01/21/2019&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">946</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Popular Espanol S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>11.500% due<BR>10/10/2018&nbsp;(e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,324</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays Bank PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.625% due 11/21/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14.000% due<BR>06/15/2019 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due<BR>09/15/2022 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 12/15/2020&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Blackstone CQP Holdco LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>9.296% due 03/19/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cantor Fitzgerald LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.875% due 10/15/2019&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Communications Sales &amp; Leasing, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>8.250% due 10/15/2023&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Agricole S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due<BR>06/23/2026 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due<BR>01/23/2024 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse AG</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/08/2023&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSBC Holdings PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/29/2023&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies Finance LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.500% due 04/15/2021&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.875% due 06/01/2020&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lloyds Banking Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.625% due<BR>06/27/2023 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due<BR>06/27/2029&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>National Bank of Greece S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>3.875% due 10/07/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Nationwide Building Society</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>10.250% due&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 01/15/2019&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.625% due 08/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 03/25/2020&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Pinnacol Assurance</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>8.625% due 06/25/2034&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Rio Oil Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>9.250% due 07/06/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">564</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due<BR>08/10/2020 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due<BR>08/10/2025 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Santander UK Group Holdings PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.375% due<BR>06/24/2022 (e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sberbank of Russia Via SB Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Springleaf Finance Corp. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 12/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tesco Property Finance PLC </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.052% due 10/13/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,932</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 03/02/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 04/02/2020&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Toll Road Investors Partnership LP </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/15/2045&nbsp;(d)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UBS Group AG </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 02/19/2022&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;79,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;23.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Altice Financing S.A. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 05/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ancestry.com Holdings LLC (9.625% Cash or 10.375%&nbsp;PIK) </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.625% due 10/15/2018&nbsp;(b)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">813</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BMC Software Finance, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due<BR>10/15/2019 (b)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due<BR>02/15/2020 (f)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;10,192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">583</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>California Resources Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 12/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chesapeake Energy Corp. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.878% due 04/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Continental Airlines Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.707% due 10/02/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.048% due 05/01/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Corp. GEO S.A.B. de C.V.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.875% due 03/27/2022&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 06/30/2020&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Crimson Merger Sub, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 05/15/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CVS Pass-Through Trust </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.507% due 01/10/2032&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Delta Air Lines Pass-Through Trust </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 06/17/2021&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diamond 1 Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.450% due 06/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 06/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 06/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.125% due 06/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DISH DBS Corp. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 07/01/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">828</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DriveTime Automotive Group, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 06/01/2021&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Enterprise Inns PLC </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 05/09/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Forbes Energy Services Ltd. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Global Geophysical Services, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 05/01/2017&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Harvest Operations Corp. </B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.330% due 04/14/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hellenic Railways Organization S.A. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.028% due 03/17/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 03/01/2021&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intelsat Luxembourg S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 06/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">990</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 06/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intrepid Aviation Group Holdings LLC </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JC Penney Corp., Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 07/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Micron Technology, Inc. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 09/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Millar Western Forest Products Ltd. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 04/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Numericable SFR S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/15/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 05/01/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Austria GmbH</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.375% due 04/01/2022&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 06/01/2018&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perstorp Holding AB</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 05/15/2017&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;4,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,601</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petroleos de Venezuela S.A. </B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Security Services Borrower LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 05/15/2023&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reynolds Group Issuer, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.127% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Russian Railways via RZD Capital PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.487% due 03/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sabine Pass Liquefaction LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 06/30/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 12/15/2017&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spanish Broadcasting System, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.500% due 04/15/2017&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,535</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spirit Issuer PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.582% due 12/28/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,175</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tembec Industries, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 12/15/2019&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Times Square Hotel Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.528% due 08/01/2026&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UAL Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 07/15/2018&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.400% due 05/01/2018&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCP, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/21/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,819</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Unique Pub Finance Co. PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.659% due 06/30/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.395% due 03/28/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;78,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;8.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Frontier Communications Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 09/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 09/15/2025&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom Neft OAO Via GPN Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.375% due 09/19/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/27/2023&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom OAO Via Gaz Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.999% due 01/23/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.510% due 03/07/2022&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.605% due 02/13/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 04/28/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 04/23/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Illinois Power Generating Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 04/01/2020&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.950% due 06/01/2032&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Odebrecht Drilling Norbe Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.350% due 06/30/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,925</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petrobras Global Finance BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 01/20/2020&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 03/17/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 12/14/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 01/16/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 03/15/2019&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sierra Hamilton LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.250% due 12/15/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>45</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income
Opportunity Fund</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="54%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Capital Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 11/15/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.125% due 06/15/2024&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 09/15/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds &amp; Notes<BR>(Cost $213,646)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;186,469</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CONVERTIBLE BONDS &amp; NOTES&nbsp;1.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;1.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SL Green Operating Partnership LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 10/15/2017&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Convertible Bonds &amp; Notes<BR>(Cost $3,794)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,177</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS &amp; NOTES&nbsp;0.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ILLINOIS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chicago, Illinois General Obligation Bonds, Series 2015</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 01/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 01/01/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>IOWA&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Iowa Tobacco Settlement Authority Revenue Bonds,&nbsp;Series</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2005 6.500% due 06/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WEST VIRGINIA&nbsp;0.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.467% due 06/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds &amp; Notes<BR>(Cost $3,062)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;3,063</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES&nbsp;0.4%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 10/01/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.100% due 05/25/2020&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;47,969</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.841% due<BR>10/25/2020 (a)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">706</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.103% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $1,520)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,468</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY OBLIGATIONS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>U.S. Treasury Floating Rate Notes</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.450% due 04/30/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Treasury Obligations<BR>(Cost $400)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>400</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES&nbsp;42.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.956% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Auburn Securities PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.912% due 10/01/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Alternative Loan&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15.943% due 09/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,882</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.669% due 12/20/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.907% due 12/20/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.043% due 03/20/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,326</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.144% due 10/20/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">479</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.747% due 10/20/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.837% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="61%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bayview Commercial Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.569% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.913% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.938% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.031% due 08/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.110% due 10/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.692% due 06/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">367</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.773% due<BR>06/25/2046 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.153% due 01/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.747% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.791% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.860% due<BR>08/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.999% due<BR>05/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.062% due 08/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.123% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.828% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.877% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.012% due 07/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bluestone Securities PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.796% due 06/09/2043</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">473</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRAD Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;3,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.550% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CBA Commercial Small Balance Commercial Mortgage</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.540% due 01/25/2039&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Celtic Residential Irish Mortgage Securitisation PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.001% due 11/13/2047&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chase Mortgage Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2021&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">838</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Global Markets Mortgage Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 02/25/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.038% due<BR>03/25/2037&nbsp;^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.302% due 07/10/2046&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 06/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.778% due 11/20/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,574</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 05/25/2036&nbsp;^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 06/25/2036&nbsp;^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 10/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2035&nbsp;^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,708</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">394</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">442</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due<BR>05/25/2037&nbsp;^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,566</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/25/2032&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 07/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due<BR>06/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.093% due 03/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.759% due<BR>11/25/2035 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.762% due 08/20/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.807% due<BR>03/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.902% due<BR>09/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">892</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.002% due<BR>08/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.011% due 06/20/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 08/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.500% due 07/26/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse First Boston Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.500% due 05/25/2032&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.053% due 07/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.896% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Debussy PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.930% due 07/12/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deutsche ALT-A Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.603% due 02/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="61%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deutsche ALT-B Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.250% due 07/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deutsche Mortgage Securities, Inc. Mortgage Loan&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.500% due 09/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Downey Savings &amp; Loan Association Mortgage Loan&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.628% due 04/19/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EMF-NL BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.749% due 07/17/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">711</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.999% due 10/17/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Epic Drummond Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.044% due 01/25/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Alternative Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.513% due 08/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">206</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.589% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.672% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,326</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.847% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.661% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.731% due<BR>01/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GMAC Mortgage Corp. Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.406% due 07/19/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.410% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GreenPoint Mortgage Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.633% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GS Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.585% due 08/10/2043&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.215% due 08/10/2043&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSR Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.943% due<BR>01/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.146% due 12/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HarborView Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.638% due 02/19/2046&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.658% due 11/19/2036&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.008% due 06/19/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">324</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.088% due 01/19/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.959% due 08/19/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HomeBanc Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.703% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IM Pastor Fondo de Titulizacion de Activos</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.009% due 03/22/2044</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Impac CMB Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.973% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.253% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.313% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">533</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.619% due 06/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.972% due 12/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.113% due<BR>05/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.419% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,355</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.464% due 05/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.939% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Commercial Mortgage-Backed Securities&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.702% due 03/18/2051&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.708% due 10/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">72</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.887% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.033% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Landmark Mortgage Securities PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.088% due 06/17/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.799% due 06/17/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.930% due 04/25/2036&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">414</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due<BR>05/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>46</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Adjustable Rate Mortgages Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.177% due 01/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.279% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.836% due<BR>07/25/2035 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.941% due 01/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 12/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 06/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;4,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Regal Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 09/29/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">689</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000%<BR>due 01/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securitization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">601</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">408</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,914</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Funding Mortgage Securities, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.546% due 07/27/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Capital Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.223% due 08/16/2048&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequoia Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>3.070% due 01/20/2038&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.704% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.821% due 01/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,126</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.361% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due<BR>08/25/2036 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,892</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 05/25/2045</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Mortgage <FONT STYLE="white-space:nowrap">Pass-Through</FONT>
Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.756% due 01/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TBW Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>6.000% due 07/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">403</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Theatre Hospitals PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>4.338% due 10/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.972% due 03/23/2045&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.165% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.190% due 07/25/2046&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,489</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.363% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">709</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">566</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.482% due 03/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.496% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,489</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.511% due<BR>06/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,804</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.723% due<BR>07/25/2037 ^(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.287% due 10/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.600% due 06/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.751% due 10/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.796% due 09/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.866% due 04/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency Mortgage-Backed Securities (Cost $130,463)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;145,040</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES&nbsp;43.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Access Financial Manufactured Housing Contract Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.650% due 05/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 05/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.303% due 08/25/2032&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Asset-Backed Funding Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 10/25/2036&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.013% due 10/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.113% due 03/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Associates Manufactured Housing
<FONT STYLE="white-space:nowrap">Pass-Through&nbsp;Certificates</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.150% due 03/15/2028&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.837% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.922% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bombardier Capital Mortgage Securitization Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.830% due 06/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,564</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,967</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Finance Securitizations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.770% due 09/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.960% due 05/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,757</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.970% due 05/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.060% due 09/01/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.163% due 03/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Financial Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.220% due 03/01/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.330% due 11/01/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.530% due 02/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.050% due 01/15/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.140% due 03/15/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">262</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.240% due 06/15/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,965</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 01/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;15,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;12,289</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 12/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.013% due 08/25/2032&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 02/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">289</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.728% due 02/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 03/25/2047&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.233% due 11/25/2034&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.693% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse First Boston Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>1.503% due 02/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit-Based Asset Servicing and Securitization LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>1.773% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,084</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Franklin Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 11/25/2036&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.346% due 07/25/2035&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,092</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Greenpoint Manufactured Housing</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>8.300% due 10/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">914</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Home Equity Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.853% due 10/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Home Equity Mortgage Loan
<FONT STYLE="white-space:nowrap">Asset-Backed&nbsp;Trust</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 04/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.773% due 04/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Acquisition Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.533% due 08/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 03/25/2047&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,849</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGS Alpha SBA Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.022% due 04/25/2038&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,794</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman ABS Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.543% due 06/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,057</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Long Beach Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>2.928% due 03/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">346</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.233% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Dean Witter Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>1.878% due 02/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">531</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>1.503% due 12/25/2034&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NovaStar Mortgage Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,583</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">706</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Oakwood Mortgage Investors, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>0.672% due 06/15/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Option One Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>5.662% due 01/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Origen Manufactured Housing Contract Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B></B>7.650% due 03/15/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ownit Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.467% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,610</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Park Place Securities, Inc. Asset-Backed
<FONT STYLE="white-space:nowrap">Pass-Through&nbsp;Certificates</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.328% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">641</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.578% due 08/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 09/25/2034&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.020% due 04/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.220% due 07/25/2034&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.806% due 11/25/2033&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.893% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,526</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.470% due 03/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Saxon Asset Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 12/26/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securitized Asset-Backed Receivables LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 02/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">241</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.128% due 01/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>South Coast Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.890% due 01/06/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,877</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Specialty Underwriting &amp; Residential Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 06/25/2037&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Investment Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 01/25/2036&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">442</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Talon Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.170% due 06/05/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,396</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCFC Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 04/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">741</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Vanderbilt Acquisition Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.330% due 05/07/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities<BR>(Cost $139,395)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;148,577</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SOVEREIGN ISSUES&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Athens Urban Transportation Organisation</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.851% due 09/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">175</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Brazil Notas do Tesouro Nacional</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.000% due 01/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Costa Rica Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 04/04/2044 </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Republic of Greece Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.800% due 08/08/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">421</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.500% due 07/03/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">367</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.750% due 04/17/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sovereign Issues (Cost $1,723)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,701</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CONSUMER DISCRETIONARY&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tribune Media Co. &#145;A&#146;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,969</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>tronc, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Petroleo e Gas S.A.
<FONT STYLE="white-space:nowrap">SP&nbsp;-&nbsp;ADR</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">110,823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIALS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC (g)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;330,393</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $830)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>466</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WARRANTS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Global Geophysical Services, Inc.&nbsp;- Exp. 05/01/2049</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Warrants (Cost $40)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR></TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>47</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income
Opportunity Fund</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CONVERTIBLE PREFERRED SECURITIES&nbsp;5.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;5.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo &amp; Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% (e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Convertible Preferred Securities<BR>(Cost $9,203)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;18,845</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PREFERRED SECURITIES&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AgriBank FCB</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 01/01/2024&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp. CPI Linked Security</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.853% due 03/15/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.903% due 01/16/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">206</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Preferred Securities (Cost $1,060)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,641</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="9" VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS&nbsp;9.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS (h) 7.3%</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="58%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS&nbsp;2.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.169% due<BR>07/21/2016&nbsp;(c)(d)(l)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,593</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost $31,364)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>31,363</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities<BR>(Cost $551,852)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>557,766</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 164.8%<BR>(Cost $551,852)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;557,766</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments (j)(k) (0.8)%</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net&nbsp;$(5,360))</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(2,690</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (64.0)%</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(216,784</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>338,292</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*): </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Payment in-kind security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(f)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(g)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC 8.500% due 08/08/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pinnacol Assurance 8.625% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TIG FinCo PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/02/2015</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.06</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(h)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MBC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.780</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;24,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.875% due 10/31/2022</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,799</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 0.750%&nbsp;-&nbsp;2.375% due <FONT STYLE="white-space:nowrap">12/31/2017&nbsp;-&nbsp;12/31/2020</FONT></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(25,589</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;24,770</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;24,771</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>48</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="30%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(571</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(624</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.976</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,957</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.531</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(766</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,931</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,774</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,052</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,058</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,393</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,092</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(454</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,955</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,727</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/14/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,996</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/24/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,956</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.429</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,522</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(426</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,832</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(15,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(981</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,053</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,644</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,096</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>49</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income
Opportunity Fund</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="30%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,910</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,009</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(220,193</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Open maturity reverse repurchase agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June 30, 2016 was $(213,094) at a weighted average interest rate of
1.439%. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is
a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(i)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $276,177 and cash of $240 have been pledged as collateral under the terms of the following master
agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to&nbsp;be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable&nbsp;for<BR><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT><BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Borrowings&nbsp;and<BR>Other&nbsp;Financing<BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,070</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(34,070</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45,052</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;10,982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,057</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,888</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,206</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(24,799</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(798</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(35,291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(35,291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,608</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SAL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,996</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,996</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43,079</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(50,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(50,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61,626</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings and Other Financing Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;24,771</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(220,193</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding
master netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="54%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90 days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(69,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Convertible Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(87,610</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(3,100</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(78,525</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(76,515</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(57,371</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(215,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"> (5)</SUP></B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(215,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Unsettled reverse repurchase agreements liability of $(4,682) is outstanding at period end. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>50</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(j)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP
AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="20%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333">
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/19/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/16/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,031</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR *</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/21/2026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6-Month AUD-BBR-BBSW </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,949</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(1,021</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(2,949</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>220</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(9</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">This security has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. </FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR
CENTRALLY CLEARED SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a
summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Cash of $2,239 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2016.
See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Exchange-Traded or Centrally Cleared</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;220</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;220</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;(9)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;(9)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(k)&nbsp;&nbsp;FINANCIAL
DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FORWARD FOREIGN CURRENCY CONTRACTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="35%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Month</B></FONT></P></TD>

<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to<BR>be
Delivered</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency
to<BR>be&nbsp;Received</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized&nbsp;Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,6411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">688</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,771</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,473</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">289</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">379</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">688</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>51</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income
Opportunity Fund</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Month</B></FONT></P></TD>

<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to<BR>be
Delivered</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency
to<BR>be&nbsp;Received</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized&nbsp;Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">811</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Forward Foreign Currency Contracts</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;2,807</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(322</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON
CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION <SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reference Entity</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Implied<BR>Credit&nbsp;Spread&nbsp;at<BR>June&nbsp;30,&nbsp;2016&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>Paid/(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Gazprom S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JSC VTB Bank</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TNK-NS BP Finance S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">110</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.505</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(330</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="35%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333">
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>(Depreciation)</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">ABX.HE.AA.6-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">07/25/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;18,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,664</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,508</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">ABX.HE.PENAAA.7-1 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">08/25/2037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,077</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(1,097</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,741</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.&nbsp;The implied credit spread of a particular
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.&nbsp;Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness
and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the&nbsp;agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing market values, in absolute
terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="36%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>Paid/(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">HUS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1-Year BRL-CDI</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11.680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">BRL</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">71,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">MYC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1-Year BRL-CDI</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15.590</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(5,360</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(26</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;20</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(5,406</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>52</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary by counterparty of
the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(l)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $5,947 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


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<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(126</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,330</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">252</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(97</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(4,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">596</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(58</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MYC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Over the Counter</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;2,807</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;20</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;2,827</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;(322</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;(5,406</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;(5,728</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master
netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR
VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary of the fair valuation of the Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,935</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,935</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,935</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;5,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>53</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Income
Opportunity Fund</FONT> <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial Derivative Instruments on the Statements
of Operations for the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="17"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(8,680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(10,423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair
valuations according to the inputs used as of June 30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;10,482</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">79,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Convertible Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Illinois</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Iowa</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">West Virginia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;144,161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;145,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">148,511</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">148,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Consumer Discretionary</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Convertible Preferred Securities</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Preferred Securities</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,641</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,593</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,593</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">539,274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">557,766</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or<BR>centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or<BR>centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;536,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;17,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;555,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June 30, 2016. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>54</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using
significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TD WIDTH="29%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized<BR>Gain/(Loss)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held at<BR>06/30/2016<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,482</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="40"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Warrants</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;31,649</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(13,467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;17,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of
significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input
Value(s)<BR>(%&nbsp;Unless<BR>Noted</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Otherwise)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="14"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference Instrument</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;movement</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37.00-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100.00-100.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.30-102.63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;17,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>Any difference between Net Change in Unrealized
Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>55</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_31"></A>Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Strategic Income Fund, Inc.</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES 255.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS 2.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Energy Future Intermediate Holding Co. LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 12/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.210% due 01/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 06/19/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $8,517)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>8,181</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS&nbsp;&amp; NOTES 21.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING&nbsp;&amp; FINANCE 13.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays Bank PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14.000% due 06/15/2019 (d)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Blackstone CQP Holdco LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.296% due 03/19/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BNP Paribas S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 08/19/2025 (d)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cantor Fitzgerald LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 10/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cooperatieve Rabobank UA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 03/19/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 06/30/2019 (d)(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,983</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,262</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 06/01/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019 (f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 01/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.450% due 06/15/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Pinnacol Assurance</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 06/25/2034 (f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sberbank of Russia Via SB Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SL Green Realty Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 03/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD COLSPAN="6" VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;44,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS 3.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 02/15/2020 (e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020 (e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CVS Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.507% due 01/10/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Enterprise Inns PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 05/09/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Forbes Energy Services Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 03/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">284</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Millar Western Forest Products Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 04/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spanish Broadcasting System, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.500% due 04/15/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UAL Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.636% due 01/02/2024 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,886</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 07/15/2018 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.400% due 05/01/2018 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">757</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCP, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/21/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="6" VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES 4.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom Neft OAO Via GPN Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/27/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom OAO Via Gaz Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 04/28/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="63%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Illinois Power Generating Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 04/01/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.950% due 06/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petrobras Global Finance BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.768% due 01/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.536% due 03/17/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 01/20/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 03/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD COLSPAN="6" VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;16,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds&nbsp;&amp; Notes (Cost $68,283)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;71,550</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS&nbsp;&amp; NOTES 0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WEST VIRGINIA 0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.467% due 06/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds&nbsp;&amp; Notes (Cost $1,593)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,611</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES 152.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.899% due 08/25/2054 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.385% due 09/01/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500% due 12/25/2027 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.565% due 12/01/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.649% due 12/01/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.663% due 11/01/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.700% due 04/01/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.875% due 03/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.933% due 03/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 11/25/2024 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">595</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 03/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.500% due 09/01/2023 - 08/01/2041 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 12/01/2018 - 07/25/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 01/25/2038 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2016 - 07/25/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2032 - 04/25/2035 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.651% due 12/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 06/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.807% due 08/25/2043 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,341</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2017 - 12/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">365</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/01/2032 - 01/25/2044 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.233% due 02/25/2042 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">798</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.293% due 10/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 10/01/2018 - 11/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,709</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 06/01/2029 - 06/25/2044 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,931</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.687% due 09/25/2041 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.850% due 12/18/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.922% due 10/25/2042 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">568</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 11/01/2016 - 01/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,324</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 05/01/2017 - 03/25/2045 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,684</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,931</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 12/01/2017 - 03/25/2044</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 05/01/2022 - 06/25/2044 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.700% due 03/25/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.824% due 06/19/2041 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 09/25/2021 - 06/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 05/01/2030 - 10/01/2031 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 09/25/2021 - 06/25/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">347</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 06/18/2027 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.441% due 05/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.930% due 07/15/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae, TBA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 01/01/2046 - 03/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">121,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">125,349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500% due 03/01/2046 - 09/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220,503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 03/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.866% due 11/15/2038 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,932</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.918% due 09/15/2036 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.039% due 05/15/2038 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,641</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.097% due 08/15/2036 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">702</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.499% due 09/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.512% due 12/01/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.908% due 04/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 02/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 04/01/2039 - 06/15/2041 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/15/2016 - 03/15/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/01/2017 - 02/15/2032 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/01/2021 - 09/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 10/15/2023 - 03/25/2044 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,718</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 07/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.900% due 09/15/2023 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">421</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.950% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/01/2016 - 10/25/2043</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/01/2021 - 02/25/2043 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,485</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 05/15/2024 - 05/01/2032 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,696</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 12/01/2025 - 02/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.996% due 12/25/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 08/15/2022 -<BR>04/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 12/01/2026 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">207</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.203% due 03/25/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac, TBA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 11/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ginnie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/15/2029 -<BR>11/15/2038 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/15/2031 -<BR>12/15/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 11/20/2024 -<BR>10/20/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 04/15/2032 -<BR>05/15/2032 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 04/15/2024 -<BR>06/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 01/15/2017 -<BR>03/15/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">252</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 03/15/2026 -<BR>01/15/2029 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 01/15/2017 -<BR>11/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 05/15/2022 -<BR>02/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 11/15/2016 -<BR>11/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 11/15/2019 -<BR>01/15/2020 (h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ginnie Mae, TBA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 09/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;21,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Small Business Administration</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.625% due 02/01/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.510% due 11/01/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.780% due 08/01/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.820% due 07/01/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 06/01/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.200% due 06/01/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.700% due 07/01/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Vendee Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 03/15/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>56</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 02/15/2026 - 06/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 09/15/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $487,554)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;505,343</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY OBLIGATIONS 20.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>U.S. Treasury Notes</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.000% due 08/15/2025 (h)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Treasury Obligations<BR>(Cost $65,061)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>68,729</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES 36.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.733% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.119% due 08/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.953% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Re-REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.686% due 04/24/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCAP LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.638% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.737% due 10/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.783% due 10/26/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.912% due 06/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.062% due 08/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 05/20/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Celtic Residential Irish Mortgage Securitisation PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 11/13/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.832% due 12/14/2048</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,424</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 09/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 07/25/2046 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 05/25/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 08/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">837</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 07/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.093% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,966</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.188% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">845</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Reperforming REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,505</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 06/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">257</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.695% due 09/15/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse First Boston Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.603% due 03/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">533</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 02/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 03/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Emerald Mortgages PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 07/15/2048</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Epic Drummond Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.044% due 01/25/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,804</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GMAC Mortgage Corp. Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.312% due 08/19/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSAA Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/01/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSMPS Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.555% due 06/19/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 06/25/2043</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 09/19/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">724</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSR Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 12/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.220% due 03/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 01/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="54%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Commercial Mortgage-Backed Securities&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.702% due 03/18/2051</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.878% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 08/25/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 06/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.296% due 09/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,956</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Luminent Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.616% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Adjustable Rate Mortgages Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.279% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,277</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">561</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">477</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 03/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">966</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 04/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Reperforming Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.225% due 12/26/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NAAC Reperforming Loan REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 10/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 03/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 10/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Newgate Funding PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.987% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.237% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.572% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.822% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,915</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RBSSP Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 12/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/25/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 11/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.937% due 08/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,744</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,075</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.725% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 03/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">206</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 04/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">583</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.866% due 04/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.880% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency Mortgage-Backed Securities (Cost $112,686)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;119,392</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES 16.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Access Financial Manufactured Housing Contract Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.650% due 05/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.978% due 11/25/2032 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">330</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.837% due 09/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">740</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,828</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Finance Securitizations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.960% due 05/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,709</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.970% due 05/01/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Financial Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.530% due 02/01/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.050% due 01/15/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 12/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,998</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,414</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 09/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.919% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit-Based Asset Servicing and Securitization LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 12/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Green Tree Servicing LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.970% due 04/25/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Greenpoint Manufactured Housing</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.300% due 10/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">914</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Oakwood Mortgage Investors, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.672% due 06/15/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 12/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities (Cost $57,434)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>54,616</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SOVEREIGN ISSUES 1.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Brazil Notas do Tesouro Nacional</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.000% due 01/01/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Costa Rica Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 04/04/2044</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sovereign Issues (Cost $6,926)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,032</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS 0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY 0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SemGroup Corp. &#145;A&#146;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,966</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $221)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>259</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS 4.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS (g)&nbsp;3.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS 0.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.238% due 07/21/2016 -<BR>12/08/2016 (b)(c)(l)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost $14,180)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>14,180</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities<BR>(Cost $822,455)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>848,893</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 255.7%<BR>(Cost $822,455)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;848,893</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments (i)(k) 0.4%</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net $(701))</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,214</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (156.1%)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(518,056</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>332,051</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>57</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Strategic
Income Fund, Inc. </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS): </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(f)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Coupon</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of&nbsp;Net&nbsp;Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500%</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/08/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;4,246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pinnacol Assurance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/25/2034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.87</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;6,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.07</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(g)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.750</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;8,600</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.250% due 06/30/2023</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,499</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.000% due 05/15/2018</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(12,354</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;12,099</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;12,099</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,689</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,896</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(29,283</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,555</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,526</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(103,332</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SALE-BUYBACK TRANSACTIONS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="29%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Sale-Buyback<BR>Transactions&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,736</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(38,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38,159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sale-Buyback Transactions</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(39,895</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MORTGAGE DOLLAR ROLLS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="33%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;59,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(59,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>58</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="28%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(54,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;120,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(120,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">WFS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Mortgage Dollar Rolls</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;268,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(268,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June&nbsp;30, 2016 was $(504,815) at a weighted average interest rate
of 1.792%. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Payable for sale-buyback transactions includes $(9) of deferred price drop. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary by counterparty of
the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(h)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $146,356 have been pledged as collateral under the terms of the following master agreements as of
June&nbsp;30,&nbsp;2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="36%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT><BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Receivable&nbsp;for<BR>Mortgage<BR>Dollar&nbsp;Rolls</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Mortgage<BR>Dollar&nbsp;Rolls</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Borrowings&nbsp;and<BR>Other&nbsp;Financing<BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(103,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(103,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;106,291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,959</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Master Securities Forward Transaction Agreement</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(234,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(39,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(39,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">WFS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings and Other Financing&nbsp;Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;12,099</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(103,332</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(39,895</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;268,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(268,511</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the even of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding
master netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds&nbsp;&amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(91,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(96,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(91,150</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(12,182</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(103,332</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sale-Buyback Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(39,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(39,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(39,895</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(39,895</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(131,045</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(12,182</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(143,227</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing
transactions</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(143,227</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>59</B></FONT></TD></TR></TABLE></DIV>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Strategic
Income Fund, Inc. </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(i)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FUTURES
CONTRACTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Description</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Type</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration<BR>Month</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>#&nbsp;of<BR>Contracts</B></FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
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<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">U.S. Treasury 2-Year Note September Futures</FONT></P></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Long</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">09/2016</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">138</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total Futures Contracts</B></FONT></P></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;210</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;20</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
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</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/19/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD&nbsp;&nbsp;&nbsp;&nbsp;11,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;31,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR *</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/21/2023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR *</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/21/2026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">70,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,009</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,612</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(10,139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(9,013</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(9,653</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>776</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(22</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">This security has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. </FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR
CENTRALLY CLEARED SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a
summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(j)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $11,739 and cash of $2,154 have been pledged as collateral for exchange-traded and centrally cleared
financial derivative instruments as of June&nbsp;30, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </B></FONT></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Exchange-Traded or Centrally Cleared</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;20</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;776</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;796</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(22</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(22</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(k)&nbsp;&nbsp;FINANCIAL
DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FORWARD FOREIGN CURRENCY CONTRACTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Month</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to<BR>be&nbsp;Delivered</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to<BR>be&nbsp;Received</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,711</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,477</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">543</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Forward Foreign Currency Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,265</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,083</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>60</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PURCHASED OPTIONS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>OPTIONS ON SECURITIES </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Strike<BR>Price</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - OTC Fannie Mae 3.500% due&nbsp;08/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">74.625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;100,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - OTC Fannie Mae 3.000% due&nbsp;07/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - OTC Fannie Mae 3.000% due&nbsp;07/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - OTC Fannie Mae 3.000% due&nbsp;08/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Put - OTC Fannie Mae 3.500% due&nbsp;07/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Call - OTC Fannie Mae 4.000% due&nbsp;07/01/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;123.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Purchased Options</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;9</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON
CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reference Entity</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Implied<BR>Credit&nbsp;Spread&nbsp;at<BR>June&nbsp;30,&nbsp;2016&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Indonesia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(456</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Indonesia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Indonesia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(709</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(262</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i)&nbsp;pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii)&nbsp;pay a net settlement amount
in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness and a
greater likelihood or risk of default or other credit event occurring as defined under the terms of the&nbsp;agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="37%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating&nbsp;Rate&nbsp;Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="3" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1-Year&nbsp;BRL-CDI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15.590%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,200</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(710</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(32</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;229</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(971</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>61</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Strategic
Income Fund, Inc. </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary by counterparty of
the market value of OTC financial derivative instruments and collateral (received)/pledged as of June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(l)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $1,218 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June&nbsp;30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">531</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(456</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">252</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(624</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
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<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
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<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Over the Counter</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;2,265</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;229</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;2,494</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(1,083</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(971</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(2,054</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master
netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR
VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary of the fair valuation of the Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>62</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial Derivative Instruments on the Statements
of Operations for the period ended June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(19,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="13"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Futures</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,048</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,048</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,644</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(7,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair
valuations according to the inputs used as of June&nbsp;30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds&nbsp;&amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking&nbsp;&amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,583</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds&nbsp;&amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">West Virginia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">505,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">505,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;119,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;119,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Energy</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;835,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,874</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">848,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value&nbsp;at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;836,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;12,874</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;850,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June&nbsp;30, 2016. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>63</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Strategic
Income Fund, Inc. </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT
STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended
June&nbsp;30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized<BR>Gain/(Loss)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held
at<BR>06/30/2016&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,621</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,093</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;25,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,093</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(11,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;12,874</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of
significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="29%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input Value(s)<BR>(% Unless<BR>Noted<BR>Otherwise)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments&nbsp;in&nbsp;Securities,&nbsp;at&nbsp;Value</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy&nbsp;Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference&nbsp;Instrument</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;movement</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37.00-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;12,874</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at June&nbsp;30, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>64</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_32"></A>Consolidated Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES&nbsp;180.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS&nbsp;3.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Energy Future Intermediate Holding Co. LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 12/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,072</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fortescue Metals Group Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 06/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.210% due 01/30/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,775</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Maxim Crane Works LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.250% due 11/26/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX (13.000% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.000% due 04/10/2049&nbsp;(c)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.250% due 06/19/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $111,813)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;100,265</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS &amp; NOTES&nbsp;45.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;19.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AGFC Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/15/2067&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Espirito Santo S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.625% due 05/08/2017 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 01/21/2019 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Popular Espanol S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.500% due 10/10/2018&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,361</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays Bank PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14.000% due 06/15/2019&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/15/2019&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 09/15/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Blackstone CQP Holdco LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.296% due 03/19/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cantor Fitzgerald LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 10/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,434</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Agricole S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 06/23/2026&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 01/23/2024&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies Finance LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 04/15/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 06/01/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019&nbsp;(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39,206</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Legg Mason PT</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.130% due 01/10/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.600% due 08/10/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lloyds Banking Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.625% due 06/27/2023&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 06/27/2029&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,798</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>National Bank of Greece S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.875% due 10/07/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Nationwide Building Society</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.250% due&nbsp;(f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Navient Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 03/25/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Novo Banco S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 05/21/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OneMain Financial Holdings LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 12/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Pinnacol Assurance</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 06/25/2034&nbsp;(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Rio Oil Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 07/06/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 01/06/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 08/10/2020&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 08/10/2025&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Santander UK Group Holdings PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 06/24/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sberbank of Russia Via SB Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Springleaf Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 12/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,110</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tesco Property Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.052% due 10/13/2039&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 03/02/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,457</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 04/02/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,718</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UBS Group AG</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 02/19/2022&nbsp;(f)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Vnesheconombank Via VEB Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.902% due 07/09/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.902% due 07/09/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;535,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;18.4%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Altice Financing S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 05/15/2026&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Altice Luxembourg S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.250% due 05/15/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ancestry.com Holdings LLC (9.625% Cash or 10.375%&nbsp;PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.625% due 10/15/2018&nbsp;(c)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 10/15/2019&nbsp;(c)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,346</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 02/15/2020&nbsp;(g)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71,967</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">66,569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.250% due 06/01/2017&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chesapeake Energy Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.878% due 04/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">364</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Crimson Merger Sub, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 05/15/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diamond 1 Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.450% due 06/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">664</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 06/15/2026&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DriveTime Automotive Group, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 06/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Enterprise Inns PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 05/09/2025&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Forbes Energy Services Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 06/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Harvest Operations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.330% due 04/14/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hellenic Railways Organization S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.028% due 03/17/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.014% due 12/27/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>iHeartCommunications, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 03/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,919</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intelsat Luxembourg S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 06/01/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,815</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 06/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,289</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intrepid Aviation Group Holdings LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JC Penney Corp., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.875% due 07/01/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,414</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Micron Technology, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 09/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Millar Western Forest Products Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 04/01/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Numericable SFR S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/15/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 05/01/2026&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Austria GmbH</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.375% due 04/01/2022 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 06/01/2018 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48,450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="53%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perstorp Holding AB</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 05/15/2017&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petroleos de Venezuela S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/15/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,070</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Prime Security Services Borrower LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.250% due 05/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reynolds Group Issuer, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.127% due 07/15/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 07/15/2024</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Russian Railways via RZD Capital PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.487% due 03/25/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Schaeffler Holding Finance BV (6.875% Cash or 7.625%&nbsp;PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 08/15/2018&nbsp;(c)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequa Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 12/15/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Soho House Bond Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.125% due 10/01/2018&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spanish Broadcasting System, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.500% due 04/15/2017&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59,524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tembec Industries, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 12/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCP, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/21/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Unique Pub Finance Co. PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.659% due 06/30/2027&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,977</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.395% due 03/28/2024&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Westmoreland Coal Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 01/01/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,811</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;7.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Frontier Communications Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 09/15/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 09/15/2025&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom Neft OAO Via GPN Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.375% due 09/19/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,346</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/27/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom OAO Via Gaz Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.999% due 01/23/2021&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,525</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.510% due 03/07/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.288% due 08/16/2037&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.288% due 08/16/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 04/28/2034&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Illinois Power Generating Co.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.300% due 04/01/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.950% due 06/01/2032&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Odebrecht Drilling Norbe Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.350% due 06/30/2022&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,675</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Odebrecht Offshore Drilling Finance Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 10/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">798</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 10/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petrobras Global Finance BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.250% due 04/01/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.536% due 03/17/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.375% due 10/01/2029&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 01/20/2020&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 12/14/2026&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 01/16/2034&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 03/15/2019&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sierra Hamilton LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.250% due 12/15/2018&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Capital Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 11/15/2028&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sprint Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.125% due 06/15/2024&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,006</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 09/15/2023&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Yellowstone Energy LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 12/31/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds &amp; Notes<BR>(Cost $1,490,754)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;1,260,354</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>65</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="63%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS &amp; NOTES&nbsp;0.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>IOWA&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 06/01/2023</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NEW JERSEY&nbsp;0.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>New Jersey Economic Development Authority Revenue Bonds, Series 2005</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/01/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,715</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>WEST VIRGINIA&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.467% due 06/01/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds &amp; Notes<BR>(Cost $20,333)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;22,043</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES&nbsp;0.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.000% due 01/25/2042 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500% due 08/25/2032 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,434</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.547% due 08/25/2038 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,925</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.697% due 02/25/2043 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.187% due 12/25/2036 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.042% due 10/25/2042 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 03/15/2027 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.103% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.758% due 09/15/2042 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.058% due 12/15/2034 (a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.953% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.203% due 03/25/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ginnie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500% due 06/20/2042 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,888</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 09/20/2042 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.672% due 08/20/2042 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.802% due 12/20/2040 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">769</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.258% due 08/16/2039 (a)(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $22,964)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>23,399</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES&nbsp;43.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.335% due 03/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.954% due 11/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,238</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>American Home Mortgage Assets Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>American Home Mortgage Investment Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.100% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ASG Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/28/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,610</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2046 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 02/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,426</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15.943% due 09/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">752</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.695% due 07/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,952</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 04/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.696% due 09/20/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,976</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.963% due 09/20/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.079% due 09/20/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.114% due 04/20/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,993</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.579% due 08/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 10/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 05/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,593</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America/Merrill Lynch Commercial Mortgage,&nbsp;Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.240% due 07/10/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bayview Commercial Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.883% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCAP LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.616% due 09/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.626% due 05/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.676% due 02/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;12,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.946% due 05/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,621</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.110% due 02/26/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.988% due 03/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,976</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.157% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.231% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,692</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.528% due 03/27/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,367</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,068</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,031</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.663% due 10/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,368</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.822% due 06/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,079</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.572% due 11/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.669% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15.470% due 01/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.870% due 02/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,996</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 08/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 01/25/2036 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,847</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.638% due 04/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,396</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.667% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.852% due 08/25/2046 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.904% due 12/25/2046 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.050% due 09/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.157% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68,750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Mortgage Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.486% due 08/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.979% due 07/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,838</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.043% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.116% due 03/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.176% due 04/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">909</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup/Deutsche Bank Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.398% due 12/11/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000% due 07/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,434</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.893% due 03/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 05/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.638% due 03/20/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.658% due 05/20/2046 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 08/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,955</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 03/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 07/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,837</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.748% due 11/20/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.153% due 10/25/2035 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,284</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.747% due 07/20/2035 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.932% due 05/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 02/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,456</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,298</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 05/25/2036 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 05/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2035 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,983</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,814</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,774</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 12/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18.553% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.323% due 03/25/2046&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53,767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.632% due 03/20/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.913% due 05/20/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2038 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.849% due 02/15/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse First Boston Mortgage Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.952% due 07/15/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.356% due 12/29/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.484% due 10/26/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.846% due 09/26/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,878</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.035% due 05/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.090% due 04/28/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 05/26/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,259</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 08/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,359</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DBUBS Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.652% due 11/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Debussy PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.930% due 07/12/2025 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;73,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 07/12/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deco Pan Europe Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.550% due 04/27/2018</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deutsche ALT-A Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Epic Drummond Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.044% due 01/25/2022 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">76,564</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Alternative Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/25/2020&nbsp;(b)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 05/25/2020&nbsp;(b)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 06/25/2020&nbsp;^(b)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 03/25/2035&nbsp;(b)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.058% due 05/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fondo de Titulizacion de Activos UCI</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000% due 06/16/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GC Pastor Hipotecario FTA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 06/21/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Greenwich Capital Commercial Funding Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.255% due 06/10/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,908</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Grifonas Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.152% due 08/28/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,888</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GS Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.829% due 04/10/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSC Capital Corp. Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HarborView Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.528% due 06/19/2045 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HomeBanc Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.719% due 04/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSI Asset Loan Obligation Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,098</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IM Pastor Fondo de Titluzacion Hipotecaria</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000% due 03/22/2043 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Impac Secured Assets Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 01/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">330</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.927% due 11/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.364% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,421</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Infinity SoPRANo</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.018% due 11/05/2019 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,914</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,244</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>66</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950% due 06/27/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,873</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.939% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,433</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.245% due 11/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/25/2035&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,672</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Chase Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.010% due 07/15/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.079% due 06/12/2041 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.756% due 03/21/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,561</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.157% due 04/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lavender Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 10/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>LB-UBS Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.518% due 02/15/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.991% due 06/15/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,079</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,797</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2038 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,804</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.353% due 08/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">574</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.153% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch Alternative Note Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch Mortgage Investors Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.821% due 03/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,283</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;10,106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Mesdag Delta BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.094% due 01/25/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.995% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.218% due 11/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.962% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Re-REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.852% due 02/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,452</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.871% due 03/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.997% due 06/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>PHH Alternative Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/25/2037&nbsp;^(b)(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RBSSP Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.075% due 09/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 05/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.983% due 06/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">857</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/25/2035&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 02/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,854</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,472</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 05/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securitization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,517</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Funding Mortgage Securities, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequoia Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.449% due 02/20/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.289% due 09/20/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">915</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.288% due 06/20/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.039% due 04/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.663% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 10/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Suntrust Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 02/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,952</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Talisman-5 Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.046% due 10/22/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">977</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="53%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Theatre Hospitals PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.588% due 10/15/2031&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51,285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.338% due 10/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,347</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.190% due 07/25/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.352% due 08/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 01/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,359</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.407% due 06/25/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,931</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,543</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,244</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.967% due 05/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.903% due 03/27/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,812</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency <FONT STYLE="white-space:nowrap">Mortgage-Backed</FONT> Securities (Cost
$1,251,584)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;1,205,064</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES&nbsp;76.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Aames Mortgage Investment Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.443% due 07/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Accredited Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 09/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.053% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ACE Securities Corp. Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.563% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.073% due 02/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,464</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.548% due 07/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,938</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.953% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Aegis Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.883% due 12/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.933% due 06/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ameriquest Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 04/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.843% due 03/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,042</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 01/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.063% due 09/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 04/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.518% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,526</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.403% due 09/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.731% due 05/25/2034&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Amortizing Residential Collateral Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.578% due 08/25/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Argent Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.553% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.573% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 09/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Argent Securities, Inc. Asset-Backed <FONT STYLE="white-space:nowrap">Pass-</FONT><BR>Through
Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.773% due 01/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 02/25/2036&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,355</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.728% due 11/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,031</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Asset-Backed Funding Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.003% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,909</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 03/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Asset-Backed Securities Corp. Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.442% due 08/15/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">788</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.653% due 07/25/2035&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39,756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.953% due 10/27/2032</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.328% due 12/25/2034&nbsp;(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.127% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">898</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Carrington Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.533% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.873% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,612</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Centex Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.933% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CIFC Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010% due 05/24/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 01/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,079</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 12/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,383</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,775</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 09/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 05/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.853% due 03/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.863% due 10/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,638</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.351% due 05/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 12/25/2036&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42,571</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">58,772</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 01/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,433</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,948</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 07/25/2037&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 06/25/2047&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,485</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 04/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 06/25/2047 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 05/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 03/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,736</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 03/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,621</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 05/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2037 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 09/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 05/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 08/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 05/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 06/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 04/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 10/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,822</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 03/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,433</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 01/25/2045</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 10/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;35,981</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.893% due 04/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 03/25/2047 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.203% due 03/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.653% due 06/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,990</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.953% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 10/25/2046 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">990</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.329% due 10/25/2032&nbsp;^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 03/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 03/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,571</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.913% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,511</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.973% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.083% due 08/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.093% due 10/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.103% due 07/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.183% due 07/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.253% due 08/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,527</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.353% due 04/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.796% due 04/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,945</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 11/25/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit-Based Asset Servicing and Securitization LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.083% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Encore Credit Receivables Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.143% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">452</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>FAB U.S. Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010% due 12/06/2045</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fieldstone Mortgage Investment Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Franklin Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,364</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 11/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,989</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,878</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fremont Home Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.943% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gramercy Real Estate CDO Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.198% due 07/25/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,068</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>67</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSAA Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.058% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSAMP Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.513% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.543% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 05/25/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,786</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.723% due 04/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;15,568</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.103% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">806</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.003% due 10/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hillcrest CDO Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.998% due 12/10/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Home Equity Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.548% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.653% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HSI Asset Securitization Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.563% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,948</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 01/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">49,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.843% due 11/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Home Equity Mortgage Loan <FONT STYLE="white-space:nowrap">Asset-</FONT><BR>Backed
Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.893% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IXIS Real Estate Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.083% due 02/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 09/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,457</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Acquisition Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.843% due 05/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,718</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Acquisition Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 03/25/2047 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 07/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,588</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 08/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 07/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,262</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,593</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.462% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.888% due 10/25/2036 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.144% due 05/25/2037 ^(j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Long Beach Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.883% due 11/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.103% due 09/25/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 04/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 12/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.813% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,886</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley ABS Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.513% due 09/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.523% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 06/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,424</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 09/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 11/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.723% due 03/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.098% due 09/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.128% due 09/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.453% due 07/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.403% due 05/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.743% due 01/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>New Century Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.453% due 01/25/2033 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="64%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Nomura Home Equity Loan, Inc. Home Equity Loan&nbsp;Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 10/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Option One Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 07/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,651</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 01/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,928</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 01/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Option One Mortgage Loan Trust
<FONT STYLE="white-space:nowrap">Asset-</FONT><BR>Backed&nbsp;Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.913% due 11/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;10,024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Park Place Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.083% due 09/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,857</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Park Place Securities, Inc. Asset-Backed
<FONT STYLE="white-space:nowrap">Pass-</FONT><BR>Through&nbsp;Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.943% due 08/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.943% due 09/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.003% due 07/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,891</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.488% due 03/25/2035 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.578% due 10/25/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.698% due 01/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.773% due 01/25/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,896</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.178% due 02/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,892</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.253% due 12/25/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.478% due 12/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,857</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Popular ABS Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.843% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.143% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">626</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.603% due 06/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Renaissance Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.612% due 04/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.773% due 01/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.933% due 09/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.173% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.196% due 04/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.316% due 04/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.021% due 04/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.426% due 04/25/2034 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,063</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 11/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 06/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 09/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,782</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 07/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 04/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 04/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 05/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.863% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.578% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Saxon Asset Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.203% due 12/25/2037 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55,477</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securitized Asset-Backed Receivables LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.593% due 07/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 05/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.723% due 03/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 10/25/2035 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.113% due 08/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SLM Student Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010% due 10/28/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Soundview Home Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,674</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 11/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,938</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,692</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 05/25/2036 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,465</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.403% due 10/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,612</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.553% due 09/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Specialty Underwriting &amp; Residential Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.796% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,048</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.253% due 05/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.913% due 02/25/2037 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,041</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Taberna Preferred Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.983% due 02/05/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">52,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.013% due 08/05/2036 ^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.013% due 08/05/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,596</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Trapeza CDO LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.703% due 01/20/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Trapeza CDO Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.690% due 07/15/2034 (j)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wachovia Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.143% due 10/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Home Equity Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities<BR>(Cost $2,193,644)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;2,153,547</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SOVEREIGN ISSUES&nbsp;0.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Athens Urban Transportation Organisation</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.851% due 09/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,571</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Republic of Greece Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.800% due 08/08/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">347,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.500% due 07/03/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">310,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.750% due 04/17/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,912</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sovereign Issues (Cost $9,544)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>9,504</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Petroleo e Gas S.A. SP <FONT STYLE="white-space:nowrap">-</FONT> ADR</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">858,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIALS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC (h)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,651,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $3,931)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,694</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS&nbsp;9.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="9"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS (i) 8.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">242,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS&nbsp;1.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.160% due 07/21/2016 - 12/08/2016 (d)(e)(l)(n)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="6"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost $279,594)</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>279,594</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities<BR></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost $5,384,161)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,055,464</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="6"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 180.3%<BR></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost $5,384,161)</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,055,464</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments (k)(m) 0.3%</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net $(6,270))</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>8,539</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (80.6)%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(2,260,000</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;2,804,003</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>68</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*): </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Principal only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Payment in-kind security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(f)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(g)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(h)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC 8.500% due 08/08/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;38,680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;36,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pinnacol Assurance 8.625% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TIG FinCo PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,931</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.06</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;65,811</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(i)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to&nbsp;be<BR>Received<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BSN</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.670</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.375% due 10/31/2020</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(98,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOM</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,200</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 1.625% due 05/31/2023</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.800</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;130,800</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 2.500% due 08/15/2023</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(133,698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,219</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 2.375% due 12/31/2020</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(247,618</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;242,219</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;242,224</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="33%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(25,411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(983</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,786</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(51,976</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(52,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(11,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,092</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,627</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,601</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.497</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,838</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/21/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.434</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>69</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/30/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,479</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,588</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/11/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/27/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/17/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(37,117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,077</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,915</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,533</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,568</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,058</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,465</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,946</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(32,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,965</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.896</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46,961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(47,015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,355</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.096</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,887</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,981</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/01/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.396</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/30/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,819</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,988</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,994</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(19,573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(19,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MYI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,965</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/24/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,910</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RCE</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,403</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,941</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,886</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(771</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.465</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,057</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,909</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>70</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,595</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,442</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.517</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/03/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,422</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,422</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,626</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(37,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.757</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/26/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.857</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/19/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/10/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/01/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/03/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/12/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/14/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(76,130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(76,635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/21/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/14/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,497</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/24/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/30/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RYL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,468</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,957</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,706</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,511</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,971</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33,263</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46,662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46,714</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.476</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(22,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(22,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,054</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,993</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,344</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,886</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,935</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(30,808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.330</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/19/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>71</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="26%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,786</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(40,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53,692</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(11,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/20/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,739</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,741</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,527</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.396</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,207</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,870</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,380,836</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Open maturity reverse repurchase agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June 30, 2016 was $(2,117,018) at a weighted average&nbsp;interest
rate of 1.534%. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND
OTHER FINANCING TRANSACTIONS SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(j)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $3,008,092 and cash of $15,095 have been pledged as collateral under the terms of the following master
agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="35%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT><BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Borrowings&nbsp;and<BR>Other&nbsp;Financing<BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(290,812</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(290,812</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">390,943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;100,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(177,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(177,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">62,408</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(102,942</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(102,942</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(29,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,588</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BSN</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">96,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(98,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(58,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(58,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">74,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DEU</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(67,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(67,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(100,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(100,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">122,411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,033</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">48,498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,465</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(88,913</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(88,913</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">123,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,822</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MYI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,457</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(52,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">54,204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(61,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(61,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RCE</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">123,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(124,875</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(497,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(497,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">608,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">110,877</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RYL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(310,986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(310,986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">389,262</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(388,942</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(388,942</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">483,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">94,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total&nbsp;Borrowings&nbsp;and&nbsp;Other&nbsp;Financing&nbsp;Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;242,224</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,380,836</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot
be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>72</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90 days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(293,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(139,849</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(623,772</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,063,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(264,994</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(376,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(69,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(718,628</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(162,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(138,571</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(232,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(533,588</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,221</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,590</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(14,363</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(726,319</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(658,208</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(925,494</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,324,384</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements <SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,324,384</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Unsettled reverse repurchase agreements liability of $(56,452) is outstanding at period end. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(k)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP
AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CDX.HY-25 5-Year Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;9,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;299</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing market values, in absolute
terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="21%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1-Year BRL-CDI </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">470,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/19/2024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month CAD-Bank Bill </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">46,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(96</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/20/2023</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">171,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,077</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">624,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">76,823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,832</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/16/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">137,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">402,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(64,909</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(47,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom">
<P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap">6-Month&nbsp;AUD-BBR-BBSW&nbsp;
</FONT></FONT></FONT></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/06/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom">
<P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap">6-Month&nbsp;AUD-BBR-BBSW&nbsp;
</FONT></FONT></FONT></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/06/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">175,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom">
<P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap">6-Month&nbsp;AUD-BBR-BBSW&nbsp;
</FONT></FONT></FONT></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;31,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;13,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;31,712</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;13,435</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;4,504</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,944</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>73</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the market value and variation
margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(l)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $25,876 and cash of $88,117 have been pledged as collateral for exchange-traded and centrally cleared
financial derivative instruments as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Exchange-Traded or Centrally Cleared</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;4,504</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;4,504</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,944)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,944)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(m)&nbsp;&nbsp;FINANCIAL
DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FORWARD FOREIGN CURRENCY CONTRACTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Month</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency to<BR>be&nbsp;Delivered</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency to<BR>be&nbsp;Received</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized&nbsp;Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">248</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">611,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,965</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(801</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,442</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,620</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,774</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,077</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,069</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(538</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61,385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">70,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,907</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,260</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(54</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">AUD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,838</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CAD</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,509</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,689</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">79,478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">116,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">611,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPY</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">611,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,426</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TDM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108,329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80,602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80,602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,081</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Forward Foreign Currency Contracts</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;20,217</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(4,975</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>74</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS: </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reference Entity</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Implied<BR>Credit&nbsp;Spread&nbsp;at<BR>June&nbsp;30, 2016&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banco Espirito Santo S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.935</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Navient Corp.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Chesapeake Energy Corp.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/20/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,295</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(50</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(3,425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(1,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(4,515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TD></TD>
<TD></TD>
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<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1">BRC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">ABX.HE.AAA.6-2 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.110%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">05/25/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;11,439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(2,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$&nbsp;&nbsp;&nbsp;&nbsp;419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;(2,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.&nbsp;The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.&nbsp;Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness and a greater
likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing market values, in absolute
terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating&nbsp;Rate&nbsp;Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1-Year BRL-CDI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">550,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">727</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1-Year BRL-CDI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(6,270</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(2,993</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;449</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(9,712</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(n)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $10,728 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="35%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(2,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(2,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,393</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(3,288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,175</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,394</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,098</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,633</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,344</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;2,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">649</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>75</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;10,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(9,420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MYC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SCX</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TDM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UAG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Over the Counter</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;20,217</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;449</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;20,666</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(4,975</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(9,712</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(14,687</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal
Risks, in the Notes to Financial Statements for more information regarding master netting agreements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair valuation of the
Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;20,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;20,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,912</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;14,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;6,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,975</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;5,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;16,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial
Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(25,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Purchased Options</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(15,473</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;25,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(41,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="13"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,359</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,359</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>76</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair valuations according to
the inputs used as of June 30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">432,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">535,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">471,769</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">204,601</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Iowa</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">New Jersey</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">West Virginia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,186,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,205,064</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,123,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,153,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">242,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">242,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,845,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;210,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;5,055,464</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally&nbsp;cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="21" COLSPAN="17"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally&nbsp;cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,687</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;4,853,781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;210,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;5,064,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June 30, 2016. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Gain/(Loss)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held at<BR>06/30/2016 <SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(23,794</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(90,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">103,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,324</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(233</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">94</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">New Jersey</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33,505</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;297,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;76,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(58,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(104,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;210,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>77</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Credit and Mortgage Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">
</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT
STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level
3 of the fair value hierarchy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input Value(s)<BR>(% Unless<BR>Noted<BR>Otherwise)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">102.67-108.25</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference Instrument</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;movement</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37.00-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">100.00-100.09</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102.13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">New Jersey</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">101.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">48.13-66.94</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">115,005.75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;210,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at June 30, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>78</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_33"></A>Consolidated Schedule of Investments <FONT
STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1"></FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INVESTMENTS IN SECURITIES&nbsp;184.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANK LOAN OBLIGATIONS&nbsp;1.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Energy Future Intermediate Holding Co. LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.250% due 12/19/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX (13.000% PIK)</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.000% due 04/10/2049&nbsp;(b)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Bank Loan Obligations (Cost $14,749)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;14,739</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CORPORATE BONDS &amp; NOTES&nbsp;21.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;10.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AGFC Capital Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/15/2067&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,063</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco Continental SAECA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.875% due 10/15/2017&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banco do Brasil S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.875% due 10/10/2022&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Barclays Bank PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.625% due 11/21/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BNP Paribas S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 08/19/2025&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cantor Fitzgerald LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 10/15/2019&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Communications Sales &amp; Leasing, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 10/15/2023&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Cooperatieve Rabobank UA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 03/19/2020&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,774</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse AG</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/08/2023&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exeter Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 05/20/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jefferies LoanCore LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 06/01/2020&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,024</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGH Intermediate Holdco LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 08/08/2019&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>National Bank of Greece S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.875% due 10/07/2016</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Pinnacol Assurance</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.625% due 06/25/2034&nbsp;(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Preferred Term Securities Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.033% due 09/23/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland Group PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 08/10/2020&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,189</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.000% due 08/10/2025&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Royal Bank of Scotland PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.934% due 04/09/2018&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,485</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sberbank of Russia Via SB Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.352% due 11/15/2019&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.125% due 02/07/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Springleaf Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 12/15/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tesco Property Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.052% due 10/13/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 03/02/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.750% due 04/02/2020&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Toll Road Investors Partnership LP</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 02/15/2045&nbsp;(e)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Vnesheconombank Via VEB Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.902% due 07/09/2020</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;130,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INDUSTRIALS&nbsp;6.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Buffalo Thunder Development Authority</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 11/15/2029&nbsp;(e)(i)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 12/09/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Caesars Entertainment Operating Co., Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.000% due 02/15/2020&nbsp;(h)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chesapeake Energy Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.878% due 04/15/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diamond 1 Finance Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.450% due 06/15/2023&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.020% due 06/15/2026&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hellenic Railways Organization S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.014% due 12/27/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intelsat Luxembourg S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 06/01/2021&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.125% due 06/01/2023&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Intrepid Aviation Group Holdings LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 02/15/2019&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Millar Western Forest Products Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 04/01/2021&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,424</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Numericable SFR S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 05/15/2022&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Austria GmbH</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 06/01/2018&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petroleos de Venezuela S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 04/12/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,415</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Spirit Issuer PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.472% due 12/28/2028&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UCP, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.500% due 10/21/2017</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Unique Pub Finance Co. PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.659% due 06/30/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.542% due 03/30/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Urbi Desarrollos Urbanos S.A.B. de C.V.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.750% due 02/03/2022&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="9" VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73,837</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;4.9%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Frontier Communications Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.500% due 09/15/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.000% due 09/15/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gazprom Neft OAO Via GPN Capital S.A.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.375% due 09/19/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/27/2023&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Petrobras Global Finance BV</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.875% due 03/17/2020&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,688</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 12/14/2026</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.625% due 01/16/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.750% due 01/27/2041&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.850% due 06/05/2115</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 01/20/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.875% due 03/15/2019&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Corporate Bonds &amp; Notes<BR>(Cost $284,831)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;265,003</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MUNICIPAL BONDS &amp; NOTES&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ILLINOIS&nbsp;0.1%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chicago, Illinois General Obligation Bonds, Series 2015</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.375% due 01/01/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">454</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.750% due 01/01/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">772</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="9"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Municipal Bonds &amp; Notes (Cost $1,170)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>1,226</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="12" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="12"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. GOVERNMENT AGENCIES&nbsp;2.4%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fannie Mae</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.467% due 07/25/2041&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.617% due 10/25/2040&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.897% due 12/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.987% due 03/25/2037 -<BR>04/25/2037&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.047% due 02/25/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.067% due 09/25/2037&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.197% due 11/25/2036&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.267% due 06/25/2037&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.297% due 10/25/2035&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.527% due 03/25/2038&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.547% due 02/25/2038&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,851</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.647% due 06/25/2023&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.355% due 01/25/2041&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Freddie Mac</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.103% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.968% due 05/15/2037&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">267</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.028% due 07/15/2036&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,725</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.138% due 09/15/2036&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,337</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.258% due 04/15/2036&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,524</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.338% due 09/15/2036&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,344</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">675</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10.953% due 10/25/2028</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11.203% due 03/25/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,280</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,284</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13.180% due 09/15/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">602</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15.770% due 09/15/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">241</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Government Agencies<BR>(Cost $28,099)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;28,934</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY OBLIGATIONS&nbsp;0.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>U.S. Treasury Floating Rate Notes</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.450% due 04/30/2018&nbsp;(m)(o)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total U.S. Treasury Obligations (Cost $5,800)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>5,802</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NON-AGENCY MORTGAGE-BACKED SECURITIES&nbsp;100.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Alba PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.832% due 12/15/2038</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,322</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>American Home Mortgage Assets Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.736% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,577</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,718</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.993% due 11/25/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,222</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 06/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,401</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>American Home Mortgage Investment Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 09/25/2045&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,788</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.353% due 02/25/2044&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,739</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.853% due 05/25/2035&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,116</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">477</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">182</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.695% due 07/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 06/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,469</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 07/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,797</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.658% due 04/20/2047&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,959</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.658% due 08/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,707</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.898% due 02/20/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,612</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.930% due 01/20/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">329</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.939% due 01/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">529</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.043% due 03/20/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,720</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.747% due 10/20/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">414</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.789% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,166</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Banc of America Re-REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.673% due 02/17/2051&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,264</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">38,988</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bancaja Fondo de Titulizacion de Activos</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.057% due 10/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,668</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bayview Commercial Asset Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.883% due 08/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCAP LLC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.563% due 07/26/2045</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,018</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.582% due 11/26/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.624% due 07/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,088</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.751% due 10/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,052</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.835% due 02/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,791</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,472</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.019% due 03/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,051</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.070% due 04/26/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,319</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.191% due 06/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,092</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/26/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,818</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,325</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,383</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Adjustable Rate Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.692% due 06/25/2047&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,615</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,006</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns ALT-A Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 02/25/2034&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,577</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.947% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,730</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,068</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.050% due 09/25/2035&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,292</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRAD Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.180% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,338</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.550% due 03/12/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,110</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>79</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"> </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Celtic Residential Irish Mortgage Securitisation PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.001% due 11/13/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,982</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,815</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.031% due 12/14/2048</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,545</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,649</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.067% due 03/18/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,674</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,814</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.098% due 04/10/2048</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,024</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Chase Mortgage Finance Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.629% due 01/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,474</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;14,201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.847% due 03/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,522</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.730% due 03/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">843</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.753% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,643</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.929% due 10/25/2035&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,760</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.028% due 09/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,214</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 09/25/2046&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,682</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.749% due 12/25/2035&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,381</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.183% due 11/25/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,505</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.670% due 12/25/2035&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,342</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">814</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.171% due 06/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">297</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 02/25/2020&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">322</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 07/25/2035&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,646</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2035&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">964</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">813</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 01/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">209</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">194</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 04/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,669</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,838</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">336</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 01/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,521</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,909</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 04/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,697</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">564</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">589</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 12/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">268</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,665</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 02/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,072</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,117</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,249</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,702</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.697% due 07/25/2036&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,910</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36.280% due 05/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,566</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,154</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.053% due 03/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">237</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.641% due 11/20/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,438</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,654</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.983% due 06/25/2047&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,742</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.000% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">78</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">68</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 12/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">174</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">95</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">388</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,945</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 01/25/2038&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">309</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">257</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 07/26/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,470</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.670% due 07/26/2049&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,063</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.026% due 04/26/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,326</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.564% due 02/27/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">64,227</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.411% due 07/26/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,267</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.692% due 04/16/2049&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,344</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 08/27/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,680</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,874</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.896% due 04/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,015</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CSAB Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 05/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,596</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,788</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Debussy PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.930% due 07/12/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,250</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.250% due 07/12/2025</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deutsche ALT-A Securities, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 10/25/2021&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,054</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Diversity Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.127% due 02/10/2046&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">267</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.477% due 02/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,310</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.977% due 02/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,193</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.477% due 02/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,170</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.727% due 02/10/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">702</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.227% due 02/10/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">234</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Emerald Mortgages PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.001% due 07/15/2048&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,405</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,554</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="57%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Epic Drummond Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.044% due 01/25/2022</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,215</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Alternative Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.513% due 08/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,566</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,331</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.647% due 11/25/2036&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,918</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Horizon Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Fondo de Titulizacion de Activos UCI</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000% due 06/16/2049</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,812</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GreenPoint Mortgage Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 12/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,686</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Grifonas Finance PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.152% due 08/28/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,703</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,948</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSR Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.024% due 11/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">325</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 08/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,143</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HarborView Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.679% due 03/19/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,293</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.698% due 01/19/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,092</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.098% due 06/20/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,412</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.348% due 06/20/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,052</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hipocat FTA</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 10/24/2039</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,177</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.000% due 01/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,420</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Impac CMB Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.173% due 10/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">364</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Impac Secured Assets Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.563% due 05/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 11/25/2046&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,338</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,761</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.703% due 02/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,700</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.753% due 07/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">815</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.123% due 06/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,965</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.125% due 02/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">530</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">456</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.485% due 03/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43,639</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.245% due 11/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,602</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.960% due 12/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,530</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Chase Commercial Mortgage Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.873% due 06/15/2045&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55,718</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.940% due 06/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,436</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.680% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,773</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lavender Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 09/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,895</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 11/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,316</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;12,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>LB-UBS Commercial Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.737% due 02/15/2040&nbsp;(a)(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208,653</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.518% due 02/15/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,700</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">108</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,447</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,025</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">866</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 09/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,344</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.250% due 09/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,967</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 07/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,675</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 07/25/2047</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,862</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,477</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Adjustable Rate Mortgages Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 05/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,366</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.793% due 05/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,938</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.803% due 03/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,675</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,994</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.853% due 03/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,178</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Merrill Lynch Mortgage Investors Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.164% due 05/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,117</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Re-REMIC Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.765% due 01/26/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,082</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,779</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.765% due 02/26/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,285</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,351</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.822% due 09/26/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,998</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.887% due 07/26/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,634</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,522</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/26/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,969</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Newgate Funding PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.772% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,057</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.987% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,323</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.237% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,435</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.822% due 12/15/2050</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,506</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NovaStar Mortgage Funding Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.636% due 09/25/2046&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">777</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RBSSP Resecuritization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.405% due 07/26/2045&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,150</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,533</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.945% due 05/26/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,342</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 03/26/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,272</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Accredit Loans, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.633% due 07/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,296</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,403</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 05/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,683</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,521</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.437% due 01/25/2046&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,319</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.594% due 01/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,133</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,151</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">539</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">458</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,831</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,654</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.000% due 10/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,946</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securitization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.500% due 07/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,204</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,087</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 08/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,697</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Funding Mortgage Securities, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.579% due 08/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,156</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.850% due 11/25/2035&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">261</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,513</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Rite Aid Pass-Through Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.789% due 01/02/2021</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sequoia Mortgage Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.818% due 07/20/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,513</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.648% due 10/20/2027</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Southern Pacific Securities PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.075% due 12/10/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,722</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Adjustable Rate Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.062% due 04/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,610</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.078% due 02/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,172</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.393% due 08/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,694</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Mortgage Investments Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 03/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,352</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.643% due 07/25/2046&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,945</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,689</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.935% due 02/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,616</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SunTrust Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.697% due 04/25/2036&nbsp;^(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,998</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,394</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TBW Mortgage-Backed Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.500% due 07/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">24,519</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Theatre Hospitals PLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.588% due 10/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,546</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,590</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.338% due 10/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">866</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,067</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WaMu Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.873% due 06/25/2044</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">344</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.187% due 06/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,532</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.220% due 07/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,667</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.317% due 10/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">656</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.437% due 02/25/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">84</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.746% due 07/25/2047&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,059</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.910% due 03/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,904</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.198% due 02/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 01/25/2047&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,624</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.053% due 07/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,859</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,528</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,608</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Alternative Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.083% due 07/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,978</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.750% due 07/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.194% due 04/27/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,600</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Wells Fargo Mortgage-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 07/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">334</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 09/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">680</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 04/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">233</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 06/25/2037&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">527</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Non-Agency <FONT STYLE="white-space:nowrap">Mortgage-Backed</FONT> Securities (Cost
$1,093,072)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;1,230,059</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>80</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ASSET-BACKED SECURITIES&nbsp;45.5%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Asset-Backed Funding Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 03/25/2034&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,704</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bear Stearns Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.003% due 06/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,846</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,794</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.115% due 10/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,928</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Citigroup Mortgage Loan Trust, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 12/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,638</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.673% due 12/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,870</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 03/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">33,110</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.252% due 03/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,907</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.852% due 05/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">648</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Finance Securitizations Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.960% due 05/01/2031&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,069</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.970% due 05/01/2032&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,301</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.200% due 05/01/2031&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,884</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,307</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9.163% due 03/01/2033&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,643</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Conseco Financial Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.060% due 02/01/2031&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,024</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.500% due 03/01/2030</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,524</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,930</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.583% due 12/25/2036&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,242</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.623% due 06/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,459</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 04/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,326</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2037&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,744</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.653% due 06/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,614</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 01/25/2046&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">34,556</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.873% due 06/25/2036&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,367</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.253% due 03/25/2033</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.833% due 12/25/2032&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">622</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">573</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.576% due 02/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">264</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.919% due 07/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,490</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.505% due 04/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">907</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.588% due 08/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">916</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">910</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Asset-Backed Certificates Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 03/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,655</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.253% due 08/25/2047&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,768</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.841% due 10/25/2046&nbsp;^(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,336</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Countrywide Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.839% due 03/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">997</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,498</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Credit-Based Asset Servicing and Securitization LLC</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.340% due 10/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,800</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EMC Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.896% due 12/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">138</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.916% due 04/25/2042&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,876</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.703% due 04/25/2042</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,813</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>First Franklin Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 12/25/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,487</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;16,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GMAC Mortgage Corp. Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.249% due 12/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,041</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSAMP Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.328% due 06/25/2034&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,991</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IndyMac Home Equity Mortgage Loan
<FONT STYLE="white-space:nowrap">Asset-Backed&nbsp;Trust</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.208% due 12/25/2031&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,093</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">368</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPMorgan Mortgage Acquisition Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.073% due 12/25/2035</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,459</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>KGS Alpha SBA Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.022% due 04/25/2038&nbsp;(a)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,508</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Lehman XS Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.170% due 06/24/2046&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,779</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="55%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Long Beach Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.713% due 08/25/2045&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">40,163</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">31,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 02/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">198</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.503% due 06/25/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">27,300</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MASTR Asset-Backed Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.603% due 03/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,426</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,256</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.833% due 01/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Mid-State Capital Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.742% due 10/15/2040</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,983</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley ABS Capital, Inc. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.553% due 11/25/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,092</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.783% due 02/25/2037</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,010</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Morgan Stanley Home Equity Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.683% due 04/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35,719</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Oakwood Mortgage Investors, Inc.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.920% due 06/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,896</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.610% due 06/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,429</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.400% due 07/15/2030&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,046</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.405% due 06/15/2031</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,053</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.840% due 11/15/2029&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,472</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8.490% due 10/15/2030&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,496</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Option One Mortgage Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.813% due 01/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Popular ABS Mortgage Pass-Through Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.703% due 08/25/2035&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,663</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Mortgage Products Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.428% due 04/25/2034&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,748</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Residential Asset Securities Corp. Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.613% due 06/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,952</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.693% due 08/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,482</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Saxon Asset Securities Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.903% due 11/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,000</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SLM Student Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010% due 10/28/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Sorin Real Estate CDO Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.164% due 10/28/2046</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,400</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Soundview Home Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.733% due 06/25/2037&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,415</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.953% due 03/25/2036&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,905</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>South Coast Funding Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.890% due 01/06/2041</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,888</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.890% due 01/06/2041&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">161,454</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Structured Asset Securities Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5.834% due 05/25/2032&nbsp;^</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,139</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Tropic CDO Ltd.</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.948% due 07/15/2036</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,137</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,989</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.508% due 07/15/2034&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,925</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Vanderbilt Acquisition Loan Trust</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7.330% due 05/07/2032&nbsp;(k)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,051</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Asset-Backed Securities<BR>(Cost $564,974)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;556,399</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SOVEREIGN ISSUES&nbsp;1.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Argentine Republic Government International Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.250% due 04/22/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">450</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="10"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Brazil Notas do Tesouro Nacional Bond</B></FONT></P></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.000% due 08/15/2050 (f)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,642</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Sovereign Issues (Cost $20,511)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>16,200</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:31%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="15%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHARES</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>MARKET<BR>VALUE<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>COMMON STOCKS&nbsp;0.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CONSUMER DISCRETIONARY&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Desarrolladora Homex S.A.B. de&nbsp;C.V.&nbsp;(c)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">719,113</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ENERGY&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OGX Petroleo e Gas S.A.
<FONT STYLE="white-space:nowrap">SP&nbsp;-&nbsp;ADR</FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">262,786</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIALS&nbsp;0.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EME Reorganization Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,207,199</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TIG FinCo PLC&nbsp;(i)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">662,196</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>UTILITIES&nbsp;0.8%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>PPL Corp.</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">245,814</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Talen Energy Corp.&nbsp;(c)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">30,703</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Common Stocks (Cost $14,785)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>10,210</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PREFERRED SECURITIES&nbsp;0.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BANKING &amp; FINANCE&nbsp;0.2%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AgriBank FCB</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.875% due 01/01/2024&nbsp;(g)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,500</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Preferred Securities (Cost $2,150)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>2,269</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SHORT-TERM INSTRUMENTS&nbsp;10.3%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REPURCHASE AGREEMENTS&nbsp;(j) 8.6%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104,632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PRINCIPAL<BR>AMOUNT<BR>(000S)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U.S. TREASURY BILLS&nbsp;1.7%</B></FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.162% due 07/21/2016 <FONT STYLE="white-space:nowrap">-</FONT> 12/08/2016&nbsp;(d)(e)(m)(o)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,551</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="5"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Short-Term Instruments<BR>(Cost $126,180)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>126,180</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments in Securities<BR>(Cost $2,156,321)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>2,257,021</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="5"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Investments 184.6%<BR>(Cost $2,156,321)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>2,257,021</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative<BR>Instruments
(k)(m)&nbsp;(0.6)%</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(Cost or Premiums, net $(31,172))</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(7,911</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR>
<TD COLSPAN="10" VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Assets and Liabilities, net (84.0)%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(1,026,611</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;1,222,499</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*): </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>*</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>^</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is in default. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(a)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interest only security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(b)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Payment in-kind bond. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(c)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security did not produce income within the last twelve months. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(d)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(e)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Zero coupon security. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(f)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Principal amount of security is adjusted for inflation. </B></FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

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<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>81</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"> </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(g)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(h)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate
and collect payments on the subject note with respect to specified events of default. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(i)&nbsp;&nbsp;RESTRICTED SECURITIES: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Acquisition<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Buffalo Thunder Development Authority 0.000% due 11/15/2029</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/08/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">KGH Intermediate Holdco LLC 8.500% due 08/08/2019</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,075</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.32</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pinnacol Assurance 8.625% due 06/25/2034</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TIG FinCo PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.03</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;28,257</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;27,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER
FINANCING TRANSACTIONS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(j)&nbsp;&nbsp;REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TD WIDTH="7%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="38%"></TD>
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<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to&nbsp;be<BR>Received <SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">IND</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.790</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;98,100</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 3.750% due 11/15/2018</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(100,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.010</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/30/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,532</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Notes 2.375% due 12/31/2020</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(106,884</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;104,632</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;104,634</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes accrued interest. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>REVERSE REPURCHASE AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="30%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TBD<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,832</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,428</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.129</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,239</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,248</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,516</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,590</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.497</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,966</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(37,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(38,592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/11/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/16/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28,314</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(28,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.288</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,669</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,673</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,815</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,449</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,866</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,879</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>82</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="90%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="26%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">
(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Amount<BR>Borrowed<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;(3)</SUP></B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.405</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/01/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,074</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/01/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(27,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/02/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/01/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.411</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(77,853</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(77,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(53,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/03/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,067</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RCE</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,031</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13,710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,932</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,959</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,919</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(35,692</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.970</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(983</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(995</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,849</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,533</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,799</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/29/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/11/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/10/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.073</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,912</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.085</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/12/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,527</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/06/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28,555</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(28,705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/21/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/15/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(37,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(37,880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/11/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(36,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,526</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.244</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/09/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,696</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/30/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(7,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SBI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/06/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,689</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(20,334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/29/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,896</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">02/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,361</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,233</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(3,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,814</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,855</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,479</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(19,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,084</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,084</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/24/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/18/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,038</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,383</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,112</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,731</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/09/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">04/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,917</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,028,000</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Open maturity reverse repurchase agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The average amount of borrowings outstanding during the period ended June 30, 2016 was $(1,056,604) at a weighted average interest rate of
1.742%. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>83</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"> </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(k)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $1,369,551 and cash of $7,717 have been pledged as collateral under the terms of the following master
agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Repurchase</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Agreement<BR>Proceeds<BR>to&nbsp;be<BR>Received</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Payable for<BR><FONT STYLE="white-space:nowrap">Sale-Buyback</FONT><BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Borrowings&nbsp;and<BR>Other&nbsp;Financing<BR>Transactions</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Exposure<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Global/Master Repurchase Agreement</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BCY</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(149,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(149,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">194,496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;44,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(18,542</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,604</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(79,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(79,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">111,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">32,309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,673</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,673</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,068</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DBL</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(24,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FOB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">IND</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;98,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(100,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JML</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34,686</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">43,854</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,673</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(179,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(179,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">249,118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69,628</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">NOM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(17,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">8,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(9,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,739</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,644</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RCE</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,741</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(20,741</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RDR</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(69,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(69,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">82,780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RTA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(222,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(222,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;298,480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;75,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SBI</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SOG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(114,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(114,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">154,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">39,945</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">SSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,667</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(44,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(44,470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">51,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings and Other Financing Transactions</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;104,634</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,028,000</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot
be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Remaining Contractual Maturity of the Agreements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Overnight&nbsp;and<BR>Continuous</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Up&nbsp;to&nbsp;30&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>31-90 days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Greater&nbsp;Than&nbsp;90&nbsp;days</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Reverse Repurchase Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(173,439</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(71,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(272,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(77,624</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(31,155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(4,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(113,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(113,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(191,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(316,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(621,187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(6,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,160</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Borrowings</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,021</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(223,850</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(403,095</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(394,731</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,022,697</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Gross amount of recognized liabilities for reverse repurchase agreements <SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(1,022,697</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Unsettled reverse repurchase agreements liability of $(5,303) is outstanding at period end. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(l)&nbsp;&nbsp;FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP
AGREEMENTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>INTEREST RATE SWAPS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="21%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">128,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6,335</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">134,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(22,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">61</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Pay</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/15/2026</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;309,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">26,216</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">03/20/2043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">76,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(17,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/18/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,345</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(5,319</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/17/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(16,992</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,385</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">511</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>84</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="20%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="20%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>

<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Pay/Receive<BR>Floating Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/17/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;45,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(11,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Receive</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3-Month USD-LIBOR </FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/16/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(45,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(15,716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(45,224</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(15,716</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,039</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(691</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(m)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $5,837 and cash of $21,993 have been pledged as collateral for exchange-traded and centrally cleared
financial derivative instruments as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Asset</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Market&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Variation Margin<BR>Liability</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></P></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Futures</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Exchange-Traded or Centrally Cleared </B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,039</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;2,039</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(691)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(691)</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>(n)&nbsp;&nbsp;FINANCIAL
DERIVATIVE INSTRUMENTS: OVER THE COUNTER </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FORWARD FOREIGN CURRENCY CONTRACTS: </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Settlement<BR>Month</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency&nbsp;to<BR>be&nbsp;Delivered</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="4" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Currency to<BR>be&nbsp;Received</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59,614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75,445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">59,614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">65,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">75,445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100,407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(54</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,946</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">911</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">50,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,452</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">91</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,090</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,819</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">EUR</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">17,321</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">55,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GBP</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">71,104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104,487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Forward Foreign Currency Contracts</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;12,378</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;(3,475</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>SWAP AGREEMENTS:
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON
CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Reference Entity</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Implied<BR>Credit&nbsp;Spread&nbsp;at<BR>June&nbsp;30,&nbsp;2016&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$&nbsp;&nbsp;&nbsp;&nbsp;4,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">35</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">09/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Petrobras Global Finance BV</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">06/20/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6.551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Russia Government International Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12/20/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2.128</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(4,619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(3,826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>85</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"> </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%;padding-bottom:0px; "><FONT
STYLE="font-family:Arial Narrow" SIZE="1"><B>CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="49%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Index/Tranches</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fixed<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Notional<BR>Amount&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap&nbsp;Agreements,<BR>at&nbsp;Value&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">ABX.HE.AA.6-2 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0.170%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">05/25/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;29,877</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(26,553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Swap Agreements</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(31,172</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;13,010</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;&nbsp;&nbsp;(18,162</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.&nbsp;The implied credit spread of a particular
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.&nbsp;Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness
and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the&nbsp;agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.&nbsp;Increasing market values, in absolute
terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>(o)</B></FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Securities with an aggregate market value of $19,920 have been pledged as collateral for financial derivative instruments as governed by International
Swaps and Derivatives Association, Inc. master agreements as of June 30, 2016. </B></FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Financial Derivative Liabilities</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchased<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Forward<BR>Foreign<BR>Currency<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Written<BR>Options</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Swap<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total<BR>Over&nbsp;the<BR>Counter</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net&nbsp;Market<BR>Value&nbsp;of&nbsp;OTC<BR>Derivatives</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Collateral<BR>(Received)/<BR>Pledged</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Exposure&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BOA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BPS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">923</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">923</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,055</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;1,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">211</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BRC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">CBK</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">DUB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(1,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">FBF</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;(14,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;14,471</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GLM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">80</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">GST</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HUS</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(1,654</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,721</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPM</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,060</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,515</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,830</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(8,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
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<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Total Over the Counter</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;12,378</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;12,378</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;(3,475</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;(18,162</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;(21,637</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal
Risks, in the Notes to Financial Statements for more information regarding master netting agreements. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair valuation of the
Fund&#146;s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="18" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;14,417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>86</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="18" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">18,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;21,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;18,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;3,475</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">22,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The effect of Financial
Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="22" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Derivatives not accounted for as hedging instruments</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Commodity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Credit<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Equity<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Foreign<BR>Exchange<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Interest<BR>Rate&nbsp;Contracts</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Realized Gain (Loss) on Financial Derivative Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">3,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;20,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,502</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">20,921</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23,747</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="13"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative
Instruments</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(25,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Forward Foreign Currency Contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swap Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(2,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(2,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(24,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(25,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:0%"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>FAIR VALUE MEASUREMENTS
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of the fair
valuations according to the inputs used as of June 30, 2016 in valuing the Fund&#146;s assets and liabilities: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,739</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">94,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">130,890</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">63,166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">73,837</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">60,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Municipal Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Illinois</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">1,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Government Agencies</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,934</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,200,816</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;29,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;1,230,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">527,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">556,399</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sovereign Issues</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Consumer Discretionary</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Utilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;9,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,695</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Preferred Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
</DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level&nbsp;1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fair<BR>Value at<BR>06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Short-Term Instruments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Repurchase Agreements</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104,632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">104,632</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">U.S. Treasury Bills</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">21,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total Investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">9,787</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,141,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">106,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,257,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Assets</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally&nbsp;cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">14,417</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="13" COLSPAN="13"></TD>
<TD HEIGHT="13" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Financial Derivative Instruments - Liabilities</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Exchange-traded or centrally&nbsp;cleared</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(21,637</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(22,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="10"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD>
<TD HEIGHT="10" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;9,787</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,133,118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;106,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;2,249,110</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> </DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">There were no
significant transfers between Levels 1 and 2 during the period ended June 30, 2016. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>87</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Consolidated Schedule of Investments <FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f">PIMCO
Dynamic Income Fund</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#7f7f7f"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="3" COLOR="#7f7f7f"> </FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Realized</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Gain/(Loss)</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Transfers&nbsp;out<BR>of Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held
at<BR>06/30/2016&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">36,558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed&nbsp;Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">5,445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">363</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">4,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">12,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">28,781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.25em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">(243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD></TR>
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<TD HEIGHT="10" COLSPAN="4"></TD>
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<TD VALIGN="bottom"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Totals</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;68,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;18,199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;20,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;(245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;106,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;206</FONT></TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
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</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The following is a summary of
significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Category&nbsp;and&nbsp;Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ending<BR>Balance<BR>at&nbsp;06/30/2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Valuation<BR>Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unobservable<BR>Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Input Value(s)<BR>(% Unless<BR>Noted<BR>Otherwise)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Investments in Securities, at Value</B></FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:0.75em; text-indent:-0.75em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>&nbsp;&nbsp;</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="4"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">11,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">102.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25,248</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Reference Instrument</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Spread&nbsp;Movement</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">37&nbsp;bps-324.53&nbsp;bps</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Industrials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">10,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">100.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Non-Agency Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">29,243</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">2.00-105.50</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">15,550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Indicative Market Quotation</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Broker Quote</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">45.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">13,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Proxy Pricing</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Base Price</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><FONT STYLE="white-space:nowrap">3.69-115,005.75</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Common Stocks</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Financials</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Other&nbsp;Valuation&nbsp;Techniques&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Total</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;&nbsp;&nbsp;106,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at June 30, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="81%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>88</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">See&nbsp;Accompanying&nbsp;Notes</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_12"></A>Notes to Financial Statements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">1. ORGANIZATION </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PCM Fund, Inc., PIMCO Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage
Income Fund (formerly PIMCO Dynamic Credit Income Fund) and PIMCO Dynamic Income Fund (each a &#147;Fund&#148; and collectively the &#147;Funds&#148;) are organized as closed-end management investment companies registered under the Investment
Company Act of 1940, as amended, and the rules and regulations thereunder (the &#147;Act&#148;). PIMCO Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income
Fund were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations on the dates shown in the table below. Pacific Investment
Management Company LLC (&#147;PIMCO&#148; or the &#147;Manager&#148;) serves as the Funds&#146; investment manager. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="69%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund Name</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Formation&nbsp;Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;23,&nbsp;1993</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS&nbsp;&amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">February&nbsp;16,&nbsp;2005</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">September&nbsp;12,&nbsp;2007</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">December 9, 1993</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">September 27, 2012</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">January 19, 2011</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PCM Fund,
Inc. has the authority to issue 300&nbsp;million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500&nbsp;million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS<FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund, PIMCO Income Opportunity Fund, PIMCO
Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Hereinafter, the terms &#147;Trustee&#148; or &#147;Trustees&#148; shall refer to a Director or Directors of applicable Funds. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">2. SIGNIFICANT ACCOUNTING POLICIES </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The following is a summary of significant accounting policies
consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (&#147;U.S. GAAP&#148;). Each Fund is treated as an investment company
under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(a) Securities
Transactions and Investment Income</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a
when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums
attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation
(depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations.
Paydown gains (losses) on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from underlying funds are recorded
as dividend income. Long-term capital gain distributions received from underlying funds are recorded as realized gains. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off
interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when
collectability of interest is probable. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(b) Cash and Foreign Currency</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;The functional and reporting currency for the Funds is the U.S. dollar. The
market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and
income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from
changes in market prices on securities held. Such changes are included in net realized and net changes in unrealized appreciation (depreciation) from investments </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate
prevailing in the </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>89</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
currency exchange market at the time or through a forward foreign currency contract (see Note 6, Financial Derivative Instruments). Realized foreign exchange gains (losses) arising from sales of
spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar
equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange
rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation or depreciation on foreign currency assets and liabilities on the
Statements of Operations. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(c) Distributions &#151; Common Shares</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;The Funds intend to declare distributions from net investment income
and gains from the sale of portfolio securities and other sources to common shareholders monthly. Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year. A Fund may engage in investment
strategies, including the use of derivatives, to, among other things, generate current, distributable income even if such strategies could potentially result in declines in the Fund&#146;s net asset value. A Fund&#146;s income and gain-generating
strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for
example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund&#146;s debt investments, or arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal
purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund&#146;s duration or yield curve management strategies (&#147;paired swap transactions&#148;), and with a
substantial possibility that the Fund will experience a corresponding capital loss and decline in net asset value with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently,
common shareholders may receive distributions and owe tax at a time when their investment in a Fund has declined in value, which tax may be at ordinary income rates, and which may be economically similar to a taxable return of capital. The tax
treatment of certain derivatives may be open to different interpretations. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In
addition, the tax treatment of such investment strategies may be changed by regulation or&nbsp;otherwise. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP
may cause timing differences between income and capital gain recognition.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain
distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Fund&#146;s annual financial statements presented under U.S. GAAP. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">If a Fund estimates that a portion of one of its dividend
distributions may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of record of the estimated composition of such distribution through a Section&nbsp;19 Notice. To determine the sources of a
Fund&#146;s distributions during the reporting period, the Fund references its internal accounting records at the time the distribution is paid and generally bases its projections of the final tax character of those distributions on the tax
characteristics of the distribution reflected in its internal accounting records at the time of such payment. If, based on such records, a particular distribution does not include capital gains or paid-in surplus or other capital sources, a
Section&nbsp;19 Notice generally would not be issued. It is important to note that differences exist between a Fund&#146;s daily internal accounting records, the Fund&#146;s financial statements presented in accordance with U.S. GAAP, and
recordkeeping practices under income tax regulations. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap
contracts.&nbsp;Notwithstanding a Fund&#146;s estimates and projections, it is possible that a Fund may not issue a Section&nbsp;19 Notice in situations where the Fund&#146;s financial statements prepared later and in accordance with U.S. GAAP or
the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Additionally, given differences in tax and U.S. GAAP treatment of certain distributions, a
Fund may not issue a Section&nbsp;19 Notice in situations where the Fund&#146;s financial statements prepared later and in accordance with U.S. GAAP might report that the sources of these distributions included capital gains and/or a return of
capital. Please visit www.pimco.com for the most recent Section&nbsp;19 Notice, if applicable, for additional information regarding the composition of distributions. Final determination of a distribution&#146;s tax character will be reported on
Form&nbsp;1099 DIV sent to shareholders each January. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been
recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gains (losses) and/or paid in capital to
more appropriately conform financial accounting to tax characterizations of distributions. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(d) Statements of Cash Flows</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;U.S. GAAP
requires entities providing financial statements that report both financial position and results of operations to also provide a statement of cash flows for each period for which results of operations are provided, but exempts investment
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>90</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">companies meeting certain conditions. One of the conditions is that substantially all of the
enterprise&#146;s investments were carried at fair value during the period and classified as Level 1 or Level 2 in the fair value hierarchy in accordance with the requirements of U.S. GAAP. Another condition is that the enterprise had little or no
debt, based on the average debt outstanding during the period, in relation to average total assets. Funds with certain degrees of borrowing activity, typically through the use of reverse repurchase agreements, sale-buyback transactions or mortgage
dollar rolls, have been determined to be at a level requiring a Statement of Cash Flows. Statements of Cash Flows, as applicable, have been prepared using the indirect method which requires net change in net assets resulting from operations to be
adjusted to reconcile to net cash flows from operating activities. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(e) New Accounting Pronouncements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;In
June 2014, the Financial Accounting Standards Board (&#147;FASB&#148;) issued Accounting Standards Update (&#147;ASU&#148;) 2014-11 that expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional
disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. The ASU became effective prospectively for
annual periods beginning after December&nbsp;15, 2014, and interim periods beginning after March&nbsp;15, 2015. The Funds have adopted the ASU (the PIMCO Income Opportunity Fund adopted the ASU in 2016). The financial statements have been modified
to provide enhanced disclosures surrounding secured borrowing transactions. See the Notes to Schedule of Investments for additional details. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In August 2014, the FASB issued ASU 2014-15 requiring management to evaluate whether there are conditions or events, considered in the
aggregate, that raise substantial doubt about the entity&#146;s ability to continue as a going concern. The ASU is effective prospectively for annual periods ending after December&nbsp;15, 2016, and interim periods thereafter. At this time,
management is evaluating the implications of these changes on the financial statements. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In May 2015, the FASB issued ASU 2015-07 which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value
per share practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. The ASU is effective for
annual periods beginning after December&nbsp;15, 2015 and interim periods within those annual periods. Management is evaluating the implications of these changes on the financial statements. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(a) Investment Valuation Policies</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;The net asset value (&#147;NAV&#148;) of a Fund&#146;s shares is determined
by dividing the total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">On each day that the New York Stock Exchange (&#147;NYSE&#148;) is open, Fund shares are
ordinarily valued as of the close of regular trading (&#147;NYSE Close&#148;). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to
retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and
Exchange Commission (the &#147;SEC&#148;). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For
purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales
prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds&#146; approved pricing services, quotation reporting systems and other third-party sources
(together, &#147;Pricing Services&#148;). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after
the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.)
equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange
traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from
Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities
purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the
relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of a Fund&#146;s assets that are
invested in one or more open-end management investment companies (other than exchange-traded funds (&#147;ETFs&#148;)), a Fund&#146;s NAV will be calculated based upon the NAVs of such investments. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">If a foreign (non-U.S.) equity security&#146;s value has
materially changed after the close of the security&#146;s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the
&#147;Board&#148;). Foreign (non-U.S.) equity securities that do not </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>91</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, a Fund may determine the fair value of investments based on information provided
by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may,
among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize
modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. Foreign (non-U.S.) exchanges may permit trading in foreign (non-U.S.) equity securities on days when a Fund is not open for business, which may result in
a Fund&#146;s portfolio investments being affected when shareholders are unable to buy or sell shares. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such
loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior
secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a)&nbsp;the creditworthiness of the borrower and any intermediate participants, (b)&nbsp;the terms of the loan, (c)&nbsp;recent
prices in the market for similar loans, if any, and (d)&nbsp;recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates
obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of a Fund&#146;s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets
outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that a Fund is not open for business. As a result, to the extent that a Fund holds foreign (non-U.S.) investments, the value of
those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund&#146;s next calculated NAV. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments for which market quotes or market-based valuations
are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not
readily available, and has delegated to PIMCO the responsibility for applying the fair valuation
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
methods. In the event that market quotes or market-based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value
of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (&#147;Valuation Oversight Committee&#148;), generally based on recommendations provided by the Manager. Market quotes are considered not
readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (&#147;Broker Quotes&#148;), Pricing Services&#146; prices), including
where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund&#146;s securities or assets. In addition, market quotes are considered not readily available when, due to
extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring
significant events that may materially affect the values of a Fund&#146;s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">When a Fund uses fair valuation to determine the value of a
portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons
acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds&#146; policy is intended to result in a calculation of a Fund&#146;s NAV that fairly reflects
security values as of the time of pricing, the Funds cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that
security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(b) Fair Value Hierarchy</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the
measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value
measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are
defined as follows: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="12" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><FONT STYLE="font-family:Times New Roman" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:WINGDINGS">&#110;</FONT></SUP>&nbsp;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"></FONT></FONT></TD>
<TD WIDTH="1" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Level 1 &#151; Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.
</FONT></P></TD></TR></TABLE></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>92</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
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<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="12" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><FONT STYLE="font-family:Times New Roman" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:WINGDINGS">&#110;</FONT></SUP>&nbsp;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"></FONT></FONT></TD>
<TD WIDTH="1" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Level 2 &#151; Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="12" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><FONT STYLE="font-family:Times New Roman" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:WINGDINGS">&#110;</FONT></SUP>&nbsp;</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"></FONT></FONT></TD>
<TD WIDTH="1" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Level 3 &#151; Significant unobservable inputs based on the best information available in the circumstances, to the extent observable
inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3
since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the
use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and
reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers into
and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments of each respective Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable
to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period timing recognition is used for the transfers
between Levels of a Fund&#146;s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3
in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedules of
Investments for each respective Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(c) Valuation Techniques and the Fair Value Hierarchy</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"> </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Level 1 and Level 2 trading assets and trading liabilities, at fair value</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;The valuation methods (or &#147;techniques&#148;) and significant inputs used in determining the fair values of portfolio securities or other assets
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations,
sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation
estimates from their internal pricing models. The Pricing Services&#146; internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices
for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to
market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These
securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes,
current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as
described above are categorized as Level 2 of the fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities
exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments valued (denominated) in currencies other
than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of a Fund&#146;s shares may be affected by changes in the value of currencies in
relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that a Fund is not open for business. Valuation
adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD WIDTH="11%"></TD>
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<TD VALIGN="bottom" WIDTH="1%"></TD>
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<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>93</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the
foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or
valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt
instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July&nbsp;31, 2015, short-term debt investments having a maturity of 60 days or less and repurchase
agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Equity exchange-traded options and over the counter financial
derivative instruments, such as forward foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Other than swap
agreements, which are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services or other pricing sources, these contracts are normally valued on the basis of quotes obtained from a quotation reporting system,
established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques,
including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and
exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Centrally cleared swaps listed or traded on a multilateral or
trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange (if available). For centrally cleared credit default swaps, the clearing facility requires its members to provide
actionable price levels across complete term structures. These levels, along with external third-party prices, are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared
interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
Rate (&#147;LIBOR&#148;) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Level 3 trading assets and trading liabilities, at fair value</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;When a fair valuation method is applied by
PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation
techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Proxy pricing procedures set the base price of a fixed income
security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a
broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation
Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the
fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">If third-party evaluated
vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a
single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the
transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the&nbsp;security. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Reference instrument valuation estimates fair value by utilizing
the correlation of the security to one or more broad-based securities market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on
percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are
categorized as Level 3 of the fair value hierarchy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with a Fund&#146;s
valuation&nbsp;procedures. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>94</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">4. SECURITIES AND OTHER
INVESTMENTS </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>(a) Investments in Securities </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Inflation-Indexed Bonds</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation.
In general, the value of an inflation-indexed security tends to decrease when real interest rates increase and can increase when real interest rates decrease. Thus generally, during periods of rising inflation, the value of inflation-indexed
securities will tend to increase and during periods of deflation, their value will tend to decrease. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond,
however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though
investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar
guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Loan Participations, Assignments and
Originations</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or
other borrowers. A Fund&#146;s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or exposure to investments in or originations of loans through
investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the &#147;agent&#148;) that acts as agent for all holders. The agent administers the terms of the loan, as
specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement
with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In the event of the insolvency of the agent selling a participation, a Fund may be treated as a general creditor of the agent and may not
benefit from any set-off between the agent and the borrower. When a Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken
out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments in loans are generally subject to risks similar to those of investments in other
types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks
associated with below-investment grade securities. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including
those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the
loans. To the extent that a Fund originates a loan, it may be responsible for all or a substantial portion of the expenses associated with initiating the loan. This may include significant legal and due diligence expenses, which will be indirectly
borne by a Fund and its shareholders. A Fund may pay fees and expenses associated with originating a loan, including significant legal and due diligence expenses, irrespective of whether the loan transaction is ultimately consummated or closed.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Additionally, because loans are not ordinarily
registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered &#147;securities&#148; for
purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in
such instruments, a Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a
publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may
have less information about such issuers than other investors who transact in such assets. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans),
whole loans, commercial real estate and other commercial loans and structured loans. The Funds may originate loans or acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated
loans, there may be significant indebtedness ranking ahead of the borrower&#146;s obligation to the holder of such a loan, including in the event of the borrower&#146;s insolvency. Mezzanine loans are typically secured by a pledge of an equity
interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Investments in
loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Fund to supply additional cash to the borrower on demand.
Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal,
interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because investing in unfunded loan commitments creates a future obligation for a Fund to
provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund&#146;s custodian in amounts sufficient to satisfy any such future obligations. A Fund may receive a commitment fee based
on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or
interest expense, respectively, on the Statements of Operations. As of June&nbsp;30, 2016, the Funds had no unfunded loan commitments outstanding. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Mortgage-Related and Other Asset-Backed Securities</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may invest in mortgage-related and other asset-backed securities that directly or indirectly represent a participation in, or are secured by and payable from, loans
on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities
typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund&#146;s higher yielding
securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have
the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect
not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the
U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors
can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
investing in mortgage-related securities secured by commercial mortgage loans (&#147;CMBS&#148;) reflect the effects of local and other economic conditions on real estate markets, the ability of
tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other
asset-backed securities are created from many types of assets, including without limitation, auto loans, credit card receivables, home equity loans, and student loans. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Collateralized Debt Obligations</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;(&#147;CDOs&#148;) include Collateralized Bond Obligations
(&#147;CBOs&#148;), Collateralized Loan Obligations (&#147;CLOs&#148;) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk,
below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans,
including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the
&#147;equity&#148; tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from
defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can
experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks
of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i)&nbsp;the possibility that distributions from
collateral securities will not be adequate to make interest or other payments, (ii)&nbsp;the collateral may decline in value or default, (iii)&nbsp;a Fund may invest in CDOs that are subordinate to other classes, and (iv)&nbsp;the complex structure
of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Collateralized Mortgage Obligations</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;(&#147;CMOs&#148;) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured
into multiple classes, often referred to as &#147;tranches,&#148; with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>96</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">may be less liquid and may exhibit greater price volatility than other types of
mortgage-related or asset-backed securities. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As CMOs
have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and planned amortization class (&#147;PAC&#148;) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class
pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each
class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each
payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must
also have support tranches &#151; known as support bonds, companion bonds or non-PAC bonds &#151; which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range
of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in
amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of
CMO bonds, including support bonds and equity or &#147;first loss&#148; tranches (see &#147;Collateralized Debt Obligations&#148; below). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Stripped Mortgage-Backed Securities</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;(&#147;SMBS&#148;) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal
distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or &#147;IO&#148; class), while the other class will receive the entire principal (the principal-only or &#147;PO&#148;
class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying
mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity
is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on
a Fund&#146;s yield to
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment
in these securities even if the security is in one of the highest rating categories. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of
the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Payment In-Kind Securities</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may invest in payment in-kind securities (&#147;PIKs&#148;). PIKs
may give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and
associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation or depreciation on
investments to interest receivable on the Statements of Assets and Liabilities. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Restricted Securities</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds
may invest in securities that are subject to legal or contractual restrictions on resale. These securities may generally be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private
placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may
involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities held by the Funds at June&nbsp;30, 2016 are disclosed in the Notes to Schedules of Investments. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">U.S. Government Agencies or Government-Sponsored Enterprises</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may invest in securities of U.S.
Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury
bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (&#147;GNMA&#148; or &#147;Ginnie Mae&#148;), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal
Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the &#147;U.S. Treasury&#148;); and others, such as those of the Federal National Mortgage Association (&#147;FNMA&#148; or &#147;Fannie
Mae&#148;), are supported by the discretionary authority of the U.S. Government to purchase the agency&#146;s obligations.
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>97</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">U.S. Government
securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities. Government-related guarantors (i.e., not backed by the full
faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (&#147;FHLMC&#148; or &#147;Freddie Mac&#148;). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or
guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage
bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (&#147;PCs&#148;),
which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit
of the U.S. Government. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Certain Funds may engage in
strategies where they seek to extend the expiration or maturity of a position, such as a To Be Announced (&#147;TBA&#148;) security on an underlying asset, by closing out the position before expiration and opening a new position with respect to the
same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Warrants</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a
proportionate amount of common stock at a specified price. Warrants are freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a
price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting
rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if
they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit
or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities
have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same
coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">5. BORROWINGS AND OTHER FINANCING TRANSACTIONS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The following disclosures contain information on a Fund&#146;s
ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund&#146;s financial statements is described below.
For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 7, Principal Risks. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(a) Repurchase Agreements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may engage in repurchase agreements. Under the terms of a typical
repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all
repurchase agreements are held by a Fund&#146;s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including
interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased
demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(b) Reverse Repurchase Agreements</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the
counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement
can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for
securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of
interest expense on </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">the Statements of Operations. In periods of increased demand for the security, a Fund may
receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund&#146;s use of the
proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund&#146;s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and
also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(c) Sale-Buybacks</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may enter into financing transactions referred to as &#145;sale-buybacks&#146;. A sale-buyback transaction consists of a sale of a security by a Fund to a financial
institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Fund is not entitled to receive principal and interest payments, if any, made on the security
sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund will recognize net income represented by
the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the &#145;price drop&#146;. A price drop consists of (i)&nbsp;the foregone interest and inflationary
income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii)&nbsp;the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded
as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of
increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. Sale-buybacks involve leverage risk and also the risk that the market value of the securities
to be repurchased may decline below the repurchase price (see Note 7, Principal Risks). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(d) Mortgage Dollar Rolls</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain
Funds may enter into mortgage dollar roll transactions. Mortgage dollar rolls involve a Fund selling securities for delivery in the current month and simultaneously contracting to repurchase substantially similar (same type, same or similar interest
rate and maturity) securities on a specified future date. The difference between the selling price and future purchase price is an adjustment to interest income on the Statements of Operations. During the roll period, a Fund forgoes principal and
interest paid on the securities. A Fund accounts for rolls as financing transactions. A Fund&#146;s
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
dollar roll transactions are intended to enhance the Fund&#146;s yield by earning a spread between the yield on the underlying mortgage securities and short-term interest rates. Dollar rolls
involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks). </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">6. FINANCIAL DERIVATIVE INSTRUMENTS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The following disclosures contain information on how and why
the Funds may use financial derivative instruments, the credit-risk-related contingent features in certain financial derivative instruments and how financial derivative instruments affect the Funds&#146; financial position, results of operations and
cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and of the realized appreciation (depreciation) and changes in unrealized appreciation (depreciation) related to such instruments on the
Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and
the amounts of realized and changes in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative
activity for the Funds. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PIMCO
Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund is subject to
regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the &#147;CFTC&#148;). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity
Trading Adviser with respect to the Fund, and is a member of the National Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Global StocksPLUS<FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund. Compliance with the CFTC&#146;s
regulatory requirements could increase PIMCO Global
StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund&#146;s expenses,
adversely affecting its total return. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(a) Forward Foreign Currency Contracts</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may enter into forward foreign currency contracts in
connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund&#146;s securities or as a part of an investment strategy. A forward foreign currency contract is an agreement
between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to
market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>99</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Realized gains
(losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a
forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on
the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although
forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a
Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral
pursuant to the terms of the underlying contracts. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(b) Futures Contracts</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may enter into futures contracts. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency
values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The
primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures
contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt,
in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily, and based on changes in the price of the contracts, a Fund pays or receives cash or other eligible assets equal to the daily
change in the value of the contract (&#147;variation margin&#148;). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation
margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(c) Options Contracts</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may write call and put options on securities and financial derivative instruments they own or in which they may invest. An option on an instrument (or an index) is a
contract that gives the holder of the option, in return for a premium, the right to
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or the cash value of the index) at a specified exercise price at
any time during the term of the option. Writing put options tends to increase a Fund&#146;s exposure to the underlying instrument. Writing call options tends to decrease a Fund&#146;s exposure to the underlying instrument. When a Fund writes a call
or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums
received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or
currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a
writer of an option has no control over whether the underlying instrument may be sold (&#147;call&#148;) or purchased (&#147;put&#148;) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the
written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Certain Funds may also purchase put and call options. Purchasing call options tends to increase a Fund&#146;s exposure to the underlying
instrument. Purchasing put options tends to decrease a Fund&#146;s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect
the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon
implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset
against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Options on Exchange-Traded Futures Contracts</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may write or purchase options on exchange-traded futures contracts (&#147;Futures Options&#148;) to hedge an existing position or future investment, for speculative
purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Options on Securities</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may write or purchase options on securities. An option uses a specified security as the underlying
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>100</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">instrument for the option contract. A Fund may write or purchase options to enhance returns or
to hedge an existing position or future&nbsp;investment. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(d) Swap Agreements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may
invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap
agreements may be privately negotiated in the over the counter market (&#147;OTC swaps&#148;) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (&#147;Centrally Cleared Swaps&#148;). A Fund
may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these
agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Centrally Cleared Swaps are marked to market daily based upon
valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized
appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin on the Statements of Assets and Liabilities. OTC swap payments received or paid at the
beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement
and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the
current value of the swap. These upfront premiums are recorded as realized gains (losses) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as
realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains (losses) on the Statements of Operations. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For purposes of applying a Fund&#146;s investment policies and restrictions, swap agreements are generally valued
by a Fund at market value. In the case of a credit default swap (see below), however, in applying certain of a Fund&#146;s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure
value (i.e., the sum of the notional amount for the contract plus the
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
market value), but may value the credit default swap at market value for purposes of applying certain of a Fund&#146;s other investment policies and restrictions. For example, a Fund may value
credit default swaps at full exposure value for purposes of a Fund&#146;s credit quality guidelines (if any) because such value reflects a Fund&#146;s actual economic exposure during the term of the credit default swap agreement. In this context,
both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund
for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the
amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree
as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or asset upon which the swap is based. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">A Fund&#146;s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the
counterparty over the contract&#146;s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a
Fund&#146;s exposure to the counterparty. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">To the
extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to Centrally Cleared Swaps where
the counterparty is a central counterparty or derivatives clearing organization. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Credit Default Swap Agreements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;A Fund
may use credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced
obligation) or to take an active long or short position with respect to the likelihood of a particular issuer&#146;s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to
another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. As a seller of protection
on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of
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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>101</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to
investment exposure on the notional amount of the swap. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i)&nbsp;pay to the buyer of protection an
amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii)&nbsp;pay a net settlement amount in the form of cash or
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the
terms of that particular swap agreement, a Fund will either (i)&nbsp;receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying
securities comprising the referenced index or (ii)&nbsp;receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities
comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the
recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a
cheapest-to-deliver option (the buyer of protection&#146;s right to choose the deliverable obligation with the lowest value following a credit event). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange
for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced
obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection&#146;s right to choose the deliverable obligation with the lowest value following a credit event). </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Credit default swap agreements on asset-backed securities
involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate loan, U.S. municipal, U.S. Treasury or
sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation, as performance for asset-backed securities can vary across deals.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions
may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a
measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation&#146;s default. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Credit default swap agreements on credit indices involve one
party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the
credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the
most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets,
and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index,
and if there is a default, the credit event is settled based on that name&#146;s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index.
Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short
position with respect to the likelihood of a particular referenced obligation&#146;s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for
speculative purposes. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Implied credit spreads,
represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, sovereign or U.S. municipal issues as of period end are disclosed in the Notes to Schedules of Investments. They serve as an
indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may
include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness and a
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>102</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">greater likelihood or risk of default or other credit event occurring as defined under the
terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/ performance risk. Increasing market
values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity&#146;s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the
terms of the agreement. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The maximum potential amount
of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement
outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations,
upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Interest Rate Swap Agreements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds are subject to interest rate risk exposure in the normal course
of pursuing their investment objectives. If a Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a
Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of
interest rate swap agreements may include: (i)&nbsp;interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or &#147;cap&#148;,
(ii)&nbsp;interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or &#147;floor&#148;, (iii)&nbsp;interest rate collars, under which a
party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv)&nbsp;callable interest rate swaps, under which the buyer pays an upfront fee in
consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v)&nbsp;spreadlocks, which allow the interest rate swap users to lock in the forward
differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi)&nbsp;basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Total Return Swap Agreements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain Funds may enter into total return swap agreements to gain or mitigate
exposure to the underlying reference
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

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asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest
rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may include an underlying equity, index, or bond, and
in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, a Fund would receive
payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return.
A Fund&#146;s use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the
index. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Asset Segregation</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Certain of the transactions described above can be viewed as constituting a form of
borrowing or financing transaction by a Fund. In such event, a Fund may but is not required to cover its commitment under such transactions by segregating or &#147;earmarking&#148; assets in accordance with procedures adopted by the Board, in which
case such transactions will not be considered &#147;senior securities&#148; by the Fund. With respect to forwards, futures contracts, options and swaps that are contractually permitted or required to cash settle (i.e., where physical delivery of the
underlying reference asset is not required), a Fund is permitted to segregate or earmark liquid assets equal to the Fund&#146;s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative&#146;s full
notional value. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were
to segregate or earmark liquid assets equal to the full notional value of the derivative. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="3">7. PRINCIPAL RISKS </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market
(market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be
subject to, please see the Important Information About the Funds. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Market Risks</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;A Fund&#146;s investments
in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Interest rate risk is the risk that fixed income securities and
other instruments held by a Fund will decline in value because of changes in
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>103</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real
interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by Fund management. A Fund may not be able to hedge against changes in interest rates
or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a
measure used to determine the sensitivity of a security&#146;s price to changes in interest rates that incorporates a security&#146;s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a
measure of the sensitivity of a fixed income security&#146;s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income
investments would generally be expected to decline by one percent for every year of the portfolio&#146;s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would
generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security&#146;s interest rate sensitivity. Convexity measures the rate of change of duration
in response to changes in interest rates and may be positive or negative Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a
greater risk of losses in periods of rising interest rates. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). At present, the U.S. is experiencing
historically low interest rates. This, combined with recent economic recovery, the Federal Reserve Board&#146;s conclusion of its quantitative easing program, and recent increases in the interest rates for the first time since 2006, could
potentially increase the probability of an upward interest rate environment in the near future. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that
fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in
value of a Fund&#146;s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer &#147;market making&#148; ability has remained relatively stagnant. As a result,
dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to &#147;make markets,&#148; are at or near historic lows in relation to market size. Because market
makers provide stability to a market through their
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be
exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a
security&#146;s country of incorporation may be different from its country of economic exposure. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or
in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the
Fund&#146;s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates,
intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United
States or abroad. As a result, a Fund&#146;s investments in foreign currency denominated securities may reduce the Fund&#146;s returns. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The market values of a Fund&#146;s investments may decline due to general market conditions which are not specifically related to a
particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors
which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility
than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform
well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">A Fund&#146;s investments in commodity-linked
financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market
movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory
developments. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
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STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Credit and Counterparty Risks</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;A Fund will be exposed to credit risk to parties with whom it trades and will
also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the counter
(&#147;OTC&#148;) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative
transactions might not be available for OTC derivative transactions. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio
securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Similar to credit risk, a Fund may be exposed to counterparty
risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. PIMCO, as Manager, seeks to minimize counterparty risks to a Fund in a number of ways. Prior to entering into transactions with
a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that
unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to a Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral
in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion
of the collateral previously advanced to the Fund. PIMCO&#146;s attempts to minimize counterparty risk may, however, be unsuccessful. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered
minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Master Netting Arrangements</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;The Funds may be subject to various netting arrangements with select
counterparties (&#147;Master Agreements&#148;). Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and
providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular
organization, resulting
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its
total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present
derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely
transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges
from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities
may be used. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty (cash). Cash collateral received is
typically not held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component
of NAV. A Fund&#146;s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively &#147;Master
Repo Agreements&#148;) govern repurchase, reverse repurchase, and sale-buyback transactions between the Funds and select counterparties. Master Repo Agreements maintain provisions for, among other things, transaction initiation, income payments,
events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of
Investments. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Master Securities Forward Transaction
Agreements (&#147;Master Forward Agreements&#148;) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as TBA securities, delayed-delivery or sale-buyback transactions by and between a Fund
and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of
forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
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<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Customer Account
Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Cleared derivatives transactions require posting of initial margin as determined by each relevant clearing
agency which is segregated at a broker account registered with the Commodity Futures Trading Commission (&#147;CFTC&#148;), or the applicable regulator. In the United States, counterparty risk may be reduced as creditors of a futures broker do not
have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the
parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end is disclosed in the
Notes to Schedule of Investments. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">International
Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (&#147;ISDA Master Agreements&#148;) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain
provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of
all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add
counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial
derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">8. BASIS FOR CONSOLIDATION </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PCILS I LLC and PDILS I LLC (each a
&#147;Subsidiary&#148; and, collectively, the &#147;Subsidiaries&#148;), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic
Income Fund (for purposes of this section, each a &#147;Fund&#148; and, collectively, the &#147;Funds&#148;), respectively, in order to effect certain investments consistent with each Fund&#146;s objectives and policies in effect from time to time.
PIMCO Dynamic Credit and Mortgage Income Fund&#146;s and PIMCO Dynamic Income Fund&#146;s investment portfolios have been consolidated and include the portfolio holdings of each Fund&#146;s respective Subsidiary. Accordingly, the consolidated
financial statements for each Fund include the accounts of each Fund&#146;s respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate
legal entity from the Funds. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">).
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="63%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO&nbsp;Dynamic<BR>Credit&nbsp;and<BR>Mortgage<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO&nbsp;Dynamic<BR>Income&nbsp;Fund</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCILS LLC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PDILS I LLC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Date of Formation</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/07/2013</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">03/12/2013</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Consolidated Fund Net Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,804,003</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,222,499</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Subsidiary % of Consolidated Fund Net&nbsp;Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Subsidiary Financial Statement&nbsp;Information</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total assets</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total liabilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net assets</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Total income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net investment income (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net realized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Net change in unrealized appreciation&nbsp;(depreciation)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Increase (decrease) in net assets resulting from&nbsp;operations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(23</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="16" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">9. FEES AND EXPENSES </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(a) Management Fee</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Pursuant to the Investment Management Agreement with PIMCO (the &#147;Agreement&#148;), and subject to the supervision of the Board, PIMCO is responsible for providing to each
Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject
to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers
(e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services,
valuation services and other services the Funds require for their daily operations. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="77%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund Name</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Annual<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.900%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.105%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.055%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.955%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.150%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1.150%<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="16" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Management fees calculated based on the Fund&#146;s average daily &#147;total managed assets&#148;. Total managed assets refer to the
total assets of each Fund (including assets attributable to any reverse repurchase agreements, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements and
borrowings). </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="16" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Management fees calculated based on the Fund&#146;s average daily &#147;total managed assets&#148;. Total managed assets refer to the
total assets of each Fund (including assets </FONT></P></TD></TR></TABLE></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>106</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="15"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).
</FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="16" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Management fees calculated based on the Fund&#146;s average daily net asset value (including daily net assets attributable to any
preferred shares of the Fund that may be outstanding). </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="16" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Management fees calculated based on the Fund&#146;s average daily &#147;total managed assets&#148;. Total managed assets includes total
assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase
agreements, dollar rolls and borrowings). <SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP> </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">(b) Fund Expenses</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i)&nbsp;salaries and other compensation or expenses, including
travel expenses of any of the Fund&#146;s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii)&nbsp;taxes and governmental fees, if
any, levied against the Fund; (iii)&nbsp;brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants
retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund&#146;s Board); (iv)&nbsp;expenses of the Fund&#146;s securities
lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v)&nbsp;costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including,
without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi)&nbsp;costs, including dividend and/or interest expenses and other costs (including, without
limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other
securities issued by the Fund and other related requirements in the Fund&#146;s organizational documents) associated with the Fund&#146;s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities
for the purpose of incurring leverage; (vii)&nbsp;fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii)&nbsp;dividend and interest expenses on short positions taken by the Fund;
(ix)&nbsp;fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates;
(x)&nbsp;extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers,
employees, shareholders, distributors, and agents with respect thereto; (xi)&nbsp;organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund&#146;s
initial offering, and expenses
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
associated with tender offers and other share repurchases and redemptions; and (xii)&nbsp;expenses of the Fund which are capitalized in accordance with U.S. GAAP. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each of the Trustees of the Funds who is not an &#147;interested
person&#148; under Section&nbsp;2(a)(19) of the Act, (the &#147;Independent Trustees&#148;) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the &#147;PIMCO
Closed-End Funds&#148;), as well as PIMCO Managed Accounts Trust, an open-end investment company with multiple series for which PIMCO serves as investment adviser and administrator (&#147;PMAT&#148; and, together with the PIMCO Closed-End Funds, the
&#147;PIMCO-Managed Funds&#148;). In addition, each of the Independent Trustees also serves as&nbsp;a&nbsp;trustee of certain investment companies (together, the <FONT STYLE="white-space:nowrap">&#147;Allianz-Managed</FONT> Funds&#148;), for which
Allianz Global Investors Fund Management (&#147;AGIFM&#148;), an affiliate of PIMCO that served as the investment manager of the PIMCO Managed Funds prior to the close of business on September&nbsp;5, 2014, serves as investment adviser. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Independent Trustee currently receives annual compensation
of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an
additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Trustee&#146;s compensation for his or her service as a Trustee on the Boards of the PIMCO Managed Funds and other costs in connection with joint meetings of such Funds are allocated
among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages between PMAT and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within
each grouping based on each such PIMCO-Managed Fund&#146;s relative net assets. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="3">10. RELATED PARTY TRANSACTIONS </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Manager is a related party. Fees payable to this party are disclosed in Note 9 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Certain Funds are permitted to purchase or sell
securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund
or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under
the procedures, each transaction is effected at the current market price. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>107</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
During the period ended June&nbsp;30, 2016, as indicated below, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands): </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="69%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund Name</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,014</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">4,974</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,529</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">18,021</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,131</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22,124</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,535</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">22,578</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">76,616</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;672,880</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;36,266</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">76,112</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">11. GUARANTEES AND INDEMNIFICATIONS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Under the organizational documents of
PIMCO Global StocksPLUS<FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT>&nbsp;&amp; Income Fund, PIMCO
Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund each
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Under the organizational
documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted by Maryland law and the Act. For PCM Fund, Inc., employees and agents of the Fund are also indemnified to
the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents of the Fund may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in
the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds&#146; maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the
Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">12. PURCHASES AND SALES OF
SECURITIES </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The length of time a Fund has held a
particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as &#147;portfolio turnover.&#148; Each Fund may engage in frequent and active trading of portfolio securities to
achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover involves correspondingly greater transaction costs to a Fund, including brokerage commissions or dealer mark-ups and other
transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The
transaction costs and tax effects associated with portfolio turnover may adversely affect a Fund&#146;s performance. The portfolio turnover rates are reported in the Financial Highlights. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Purchases and sales of securities (excluding short-term investments) for the period ended
June&nbsp;30, 2016, as indicated below, were as follows (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>U S Government/Agency</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>All Other</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Fund Name</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchases</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Sales</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Purchases</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Sales</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34,839</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,676</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">41,511</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">39,135</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,999</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,597</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">83,080</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">100,464</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;275,244</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;276,160</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">52,906</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">68,801</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">64,119</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">72,049</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,632,063</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;1,186,415</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,704</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">20,557</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">446,241</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">267,078</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">13. REGULATORY AND LITIGATION MATTERS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds are not named as defendants in any material
litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PIMCO has received a Wells Notice from the staff of the SEC that relates to the PIMCO Total Return Active Exchange-Traded Fund
(&#147;BOND&#148;), a series of PIMCO ETF Trust. The notice indicates the staff&#146;s preliminary determination to recommend that the SEC commence a civil action against PIMCO stemming from a non-public investigation relating to BOND. A Wells
Notice is neither a formal allegation of wrongdoing nor a finding that any law was violated. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">This matter principally pertains to the valuation of smaller sized positions in non-agency
mortgage-backed securities purchased by BOND between its inception on February&nbsp;29, 2012 and June&nbsp;30, 2012, BOND&#146;s performance disclosures for that period, and PIMCO&#146;s compliance policies and procedures related to these matters.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Wells process provides PIMCO with the
opportunity to demonstrate to the SEC staff why it believes its conduct was appropriate, in keeping with industry standards, and that no action should be taken. PIMCO believes that this matter is unlikely to have a material adverse effect on any
Fund or on PIMCO&#146;s ability to provide investment management services to any Fund. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>108</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The foregoing speaks only as of the date of this report. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">14. FEDERAL INCOME TAX MATTERS </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Fund intends to qualify as a regulated investment company
under Subchapter M of the Internal Revenue Code (the &#147;Code&#148;) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds may be subject to local withholding taxes, including
those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In accordance with U.S. GAAP, the Manager has reviewed the Funds&#146; tax positions for all
open tax years. As of June&nbsp;30, 2016, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Fund files U.S. tax returns. While the statute of
limitations remains open to examine the Funds&#146; U.S. tax returns filed for the fiscal years from 2013-2015, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As of June 30, 2016, the components of distributable taxable earnings are as follows (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Undistributed<BR>Ordinary<BR>Income&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Undistributed<BR>Long-Term<BR>Capital Gains</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Tax Basis<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Other<BR><FONT STYLE="white-space:nowrap"><FONT STYLE="white-space:nowrap">Book-to-Tax</FONT></FONT><BR>Accounting
<BR>Differences&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Accumulated<BR>Capital<BR>Losses&nbsp;
<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Qualified<BR><FONT STYLE="white-space:nowrap">Late-Year</FONT><BR>Loss<BR>Deferral -<BR>Capital&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Qualified<BR><FONT STYLE="white-space:nowrap">Late-Year</FONT><BR>Loss<BR>Deferral -<BR>Ordinary&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(6)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,922</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,629</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(923</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(15,170</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(695</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPlus<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">10,488</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,016</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(136,721</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">863</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3,317</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,863</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(6,324</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,503</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16,746</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(3,369</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(51,455</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">79,337</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(297,892</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(22,678</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(228,991</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;53,910</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">88,840</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(10,148</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(11,493</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes undistributed short-term capital gains, if any. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Adjusted for open wash sale loss deferrals and accelerated recognition of unrealized gain or loss on certain futures, options and forward
contracts for federal income tax purposes. Also adjusted for differences between book and tax realized and unrealized gain/loss on swap contracts, market discount and premium amortization, sale of corporate actions, interest-only basis adjustments,
sale/buyback transactions, and Lehman securities. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America,
mainly for straddle loss deferrals and distributions payable at fiscal year-end. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Capital losses available to offset future net capital gains expire in varying amounts in the years shown below.
</FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Capital losses realized during the period November 1, 2015 through June 30, 2016 which the Funds elected to defer to the following taxable
year pursuant to income tax regulations. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(6)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Specified losses realized during the period November 1, 2015 through June 30, 2016 and Ordinary losses realized during the period January
1, 2016 through June 30, 2016, which the Funds elected to defer to the following taxable year pursuant to income tax regulations. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As of June 30, 2016, the Funds had accumulated capital losses expiring in the following years (amounts in thousands&#134;): </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds will resume capital gain distributions in the future
to the extent gains are realized in excess of accumulated capital losses. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="56%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Expiration of Accumulated Capital Losses</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>6/30/2017</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>6/30/2018</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>6/30/2019</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13,751</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,419</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPlus<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;89,083</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;5,575</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13,338</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Under the Regulated Investment Company Act of 2010, a fund is
permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all
short-term under previous law. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>109</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Notes to Financial Statements <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As of June 30, 2016, the Funds had the following post-effective capital losses with no expiration (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom" WIDTH="12%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="white-space:nowrap">Short-Term</FONT></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="white-space:nowrap">Long-Term</FONT></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPlus<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42,063</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">37,613</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">504</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;190,657</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;38,334</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As of June 30, 2016, the aggregate cost and
the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Federal Tax<BR>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Net Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(7)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">195,759</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,749</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(15,498</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(2,749</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPlus<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">158,396</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17,835</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(11,618</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">6,217</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">552,625</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">48,246</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(43,106</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,140</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">822,497</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">36,129</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(9,733</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">26,396</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;5,390,313</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;104,722</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(439,571</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;(334,849</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,157,902</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">217,345</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(118,226</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">99,119</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(7)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash
sale loss deferrals, market discount and premium amortization, interest-only basis adjustments, sale/buyback transactions, convertible preferred securities, sale of corporate actions, and Lehman securities for federal income tax purposes.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For the
fiscal years ended June&nbsp;30, 2016 and each Fund&#146;s respective previous fiscal year ends, the Funds made the following tax basis distributions (amounts in thousands</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="32%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June&nbsp;30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from January 1, 2015 to June&nbsp;30,&nbsp;2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended December&nbsp;31, 2014</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B><FONT STYLE="white-space:nowrap">Long-Term</FONT><BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11,077</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,537</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">12,094</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June 30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from April 1, 2015 to June 30, 2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended March 31, 2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">21,340</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,918</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,782</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">23,021</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June 30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from November 1, 2014 to<BR>June&nbsp;30,&nbsp;2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended October 31, 2014</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34,171</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7,592</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">34,865</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">11,498</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">224</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42,972</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June 30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from February 1, 2015 to June&nbsp;30,&nbsp;2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended January 31, 2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">41,907</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">16,651</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">42,226</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD>
<TD HEIGHT="8" COLSPAN="12"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June 30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from January 1, 2015 to June&nbsp;30,&nbsp;2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended December 31, 2014</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income&nbsp;Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">299,572</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">128,645</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">336,546</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">2,940</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>110</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">June&nbsp;30,&nbsp;2016 </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended June 30, 2016</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Period from April 1, 2015 to June&nbsp;30, 2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Year Ended March 31, 2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Ordinary<BR>Income<BR>Distributions&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Long-Term<BR>Capital&nbsp;Gain<BR>Distributions</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Return&nbsp;of<BR>Capital&nbsp;<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income&nbsp;Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">200,209</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38,491</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">28,651</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">187,696</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(8)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Includes short-term capital gains distributed, if any. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(9)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from
undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3">15. SUBSEQUENT EVENTS </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In preparing these financial statements, the Funds&#146; management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements
were issued. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">On July&nbsp;1, 2016, the following
distributions were declared to common shareholders payable August&nbsp;1, 2016 to shareholders of record on July&nbsp;11,&nbsp;2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


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<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
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<TD></TD>
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<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.080000&nbsp;per&nbsp;common&nbsp;share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP>&nbsp;&amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.183350 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.190000 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.080000 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.164063 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.220500 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">On August 1, 2016, the following
distributions were declared to common shareholders payable September 1, 2016 to shareholders of record on August 11, 2016: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="62%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.080000&nbsp;per&nbsp;common&nbsp;share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.183350 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.190000 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.080000 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.164063 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;0.220500 per common share</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Effective July&nbsp;29, 2016,
PIMCO Dynamic Credit Income Fund changed its name to PIMCO Dynamic Credit and Mortgage Income Fund. The New York Stock Exchange ticker symbol for PIMCO Dynamic Credit and Mortgage Income Fund&#146;s common shares (PCI) will remain the same.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">There were no other subsequent events identified
that require recognition or disclosure. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
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<TD WIDTH="74%"></TD>
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<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>111</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_13"></A>Report of Independent Registered Public Accounting Firm </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>To the Shareholders and Board of Directors/Trustees of
PCM Fund, Inc., PIMCO Global StocksPLUS<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc.,
PIMCO Dynamic Credit and Mortgage Income Fund (formerly PIMCO Dynamic Credit Income Fund) and PIMCO Dynamic Income Fund </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the
related statements of operations, of changes in net assets, and of cash flows and the financial highlights present fairly, in all material respects, the financial position of PCM Fund, Inc., PIMCO Global StocksPLUS<FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund, PIMCO Income Opportunity Fund, PIMCO
Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund (formerly PIMCO Dynamic Credit Income Fund), and PIMCO Dynamic Income Fund (hereafter referred to as the &#147;Funds&#148;) at June 30, 2016, the results of each of their
operations and the cash flows for the year then ended, the changes in each of their net assets and the financial highlights of the Funds for each of the periods presented, in conformity with accounting principles generally accepted in the United
States of America. These financial statements (consolidated financial statements for PIMCO Dynamic Credit and Mortgage Income Fund (formerly PIMCO Dynamic Credit Income Fund) and PIMCO Dynamic Income Fund) and financial highlights (hereafter
referred to as &#147;financial statements&#148;) are the responsibility of the Funds&#146; management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial
statements 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 are free
of material misstatement. An audit 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, and
evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PricewaterhouseCoopers LLP </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Kansas City, Missouri </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">August 25, 2016 </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>112</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_14"></A>Glossary: <FONT STYLE="font-family:Arial Narrow" SIZE="1">(abbreviations that may
be used in the preceding statements)</FONT> </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TD WIDTH="27%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="27%"></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="11"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="11" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Counterparty Abbreviations:</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AZD</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Australia and New Zealand Banking Group</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GSC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Goldman Sachs &amp; Co.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RBC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Royal Bank of Canada</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BCY</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Barclays Capital, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GST</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Goldman Sachs International</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RCE</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Royal Bank of Canada Europe Limited</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BOA</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank of America N.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HUS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HSBC Bank USA N.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RDR</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">RBC Capital Markets</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BOS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Banc of America Securities LLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>IND</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Cr&eacute;dit Agricole Corporate and Investment Bank&nbsp;S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RTA</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Royal Bank of Canada</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BPG</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BNP Paribas Securities Corp.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JML</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPMorgan Securities PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>RYL</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Royal Bank of Scotland Group PLC</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BPS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">BNP Paribas S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPM</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPMorgan Chase Bank N.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SAL</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Citigroup Global Markets, Inc.</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Barclays Bank PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">JPMorgan Securities, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SBI</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Citigroup Global Markets Ltd.</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BSN</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank of Nova Scotia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MBC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">HSBC Bank PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SCX</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Standard Chartered Bank</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CBK</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Citibank N.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MSB</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Morgan Stanley Bank N.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SOG</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Societe Generale</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DBL</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Deutsche Bank AG London</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MSC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Morgan Stanley &amp; Co., Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SSB</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">State Street Bank and Trust Co.</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DEU</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Deutsche Bank Securities, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MYC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Morgan Stanley Capital Services, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>TDM</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">TD Securities (USA) LLC</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DUB</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Deutsche Bank AG</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>MYI</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Morgan Stanley &amp; Co. International PLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UAG</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS AG Stamford</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>FBF</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Credit Suisse International</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NAB</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">National Australia Bank Ltd.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>UBS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">UBS Securities LLC</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>FOB</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Credit Suisse Securities (USA) LLC</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NOM</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Nomura Securities International Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>WFS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Wells Fargo Securities, LLC</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GLM</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Goldman Sachs Bank USA</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="11"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="11" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Currency Abbreviations:</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>AUD</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Australian Dollar</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>EUR</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Euro</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NOK</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Norwegian Krone</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BRL</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Brazilian Real</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>GBP</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">British Pound</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SEK</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swedish Krona</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CAD</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Canadian Dollar</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>HKD</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Hong Kong Dollar</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SGD</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Singapore Dollar</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CHF</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Swiss Franc</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ILS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Israeli Shekel</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>USD (or<BR>$)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">United States Dollar</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>DKK</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Danish Krone</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JPY</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Japanese Yen</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="11"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="11" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Exchange Abbreviations:</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CME</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Chicago Mercantile Exchange</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>OTC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Over the Counter</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="11"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="11" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Index/Spread Abbreviations:</B></FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ABX.HE</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Securities Index - Home Equity</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CPI</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Consumer Price Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>PENAAA</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Penultimate AAA Sub-Index</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CDX.HY</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Credit Derivatives Index - High Yield</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>NDDUEAFE</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">MSCI EAFE Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8" COLSPAN="11"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="11" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em;"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other Abbreviations:</B></FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ABS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Asset-Backed Security</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CDI</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Brazil Interbank Deposit Rate</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>LIBOR</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">London Interbank Offered Rate</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>ALT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Alternate Loan Trust</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CDO</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Collateralized Debt Obligation</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>PIK</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Payment-in-Kind</FONT></P></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BBR</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Bill Rate</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>CLO</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Collateralized Loan Obligation</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>REMIC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Real Estate Mortgage Investment Conduit</FONT></P></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>BBSW</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Bank Bill Swap Reference Rate</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>JSC</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Joint Stock Company</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>SP -<BR>ADR</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Sponsored American Depositary Receipt</FONT></P></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>113</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_15"></A>Federal Income Tax Information </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As required by the Internal Revenue Code (&#147;Code&#148;) and
Treasury Regulations, if applicable, shareholders must be notified within 60 days of the Funds&#146; fiscal year end regarding the status of qualified dividend income and the dividend received deduction. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Dividend Received Deduction.</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Corporate shareholders are generally entitled to take the dividend received<B>
</B>deduction on the portion of a Fund&#146;s dividend distribution that qualifies under tax law. The percentage of the following Funds&#146; fiscal 2016 ordinary income dividend that qualifies for the corporate dividend received deduction is set
forth below: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Qualified Dividend Income.</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the
&#147;Act&#148;), the following percentage of <B></B>ordinary dividends paid during the calendar year was designated as &#147;qualified dividend income&#148;, as defined in the Act, subject to reduced tax rates in 2016: </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders
only).</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Under the American Jobs Creation Act of 2004, the <B></B>following amounts of ordinary dividends paid during the fiscal year ended June 30, 2016 are considered
to be derived from &#147;qualified interest income,&#148; as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest-related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of
ordinary dividends paid during the fiscal year ended June 30, 2016 are considered to be derived from &#147;qualified short-term capital gain,&#148; as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term
gain dividends, as defined by Section 871(k)(2)(C) of the Code. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Dividend<BR>Received<BR>Deduction&nbsp;%</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Qualified<BR>Dividend<BR>Income&nbsp;%</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Qualified<BR>Interest<BR>Income<BR>(000s<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;
</SUP>)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Qualified<BR><FONT STYLE="white-space:nowrap">Short-Term</FONT><BR>Capital&nbsp;Gain<BR>(000s<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PCM Fund Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.04%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,247</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Global StocksPlus<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT
STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP> &amp; Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.11%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">7,995</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Income Opportunity Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">3.46%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">15,358</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Strategic Income Fund, Inc.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.03%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">17,606</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Credit and Mortgage Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;108,894</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;&nbsp;&nbsp;6,367</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">PIMCO Dynamic Income Fund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0.31%</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">66,675</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#134;</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">A zero balance may reflect actual amounts rounding to less than one thousand. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Shareholders are advised to consult their own tax advisor with
respect to the tax consequences of their investment in the Trust. In January 2017, you will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received by you in calendar year 2016. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>114</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_16"></A>Shareholder Meeting Results </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>Annual Shareholder Meeting Results </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PCM Fund, Inc., PIMCO Income Opportunity Fund and PIMCO Dynamic
Credit and Mortgage Income Fund (formerly, PIMCO Dynamic Credit Income Fund) held their annual meetings of shareholders on April&nbsp;29, 2016. Shareholders voted as indicated below: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Income Opportunity Fund</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of John C. Maney&#134; &#151; Class II to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13,004,444</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">333,975</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of James A. Jacobson &#151; Class II to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">13,000,204</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">338,215</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Trustees at the time of the meeting, namely, Ms.&nbsp;Deborah&nbsp;A. DeCotis and Messrs. Bradford K. Gallagher, Hans&nbsp;W. Kertess, William B. Ogden, IV, Alan Rappaport and Craig A. Dawson continued to serve as Trustees of the Fund.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#134;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Interested Trustee </FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PCM Fund, Inc.</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Election of James A. Jacobson &#151; Class I to serve until the annual meeting held during
the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,705,740</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">384,617</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of William B. Ogden, IV &#151; Class I to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,704,635</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">385,722</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Directors at the time of the meeting, namely, Ms.&nbsp;Deborah&nbsp;A. DeCotis and Messrs. Hans W. Kertess, Bradford K. Gallagher, Alan Rappaport, John C. Maney and Craig A. Dawson continued to serve as Directors of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="84%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Credit and Mortgage Income Fund (formerly, PIMCO Dynamic Credit Income Fund)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of Deborah A. DeCotis &#151; Class III to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">110,435,932</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,125,445</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of John C. Maney&#134; &#151; Class III to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">110,502,230</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">5,059,148</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Trustees at the time of the meeting, namely, Messrs. Hans W. Kertess, Bradford K. Gallagher, James A. Jacobson, William B. Ogden, IV, Alan Rappaport and Craig A. Dawson continued to serve as Trustees of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">&#134;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Interested Trustee </FONT></TD></TR></TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>Annual Shareholder Meeting Results </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PIMCO Strategic Income Fund, Inc., PIMCO Global StocksPLUS&nbsp;&amp; Income Fund and PIMCO Dynamic Income Fund held their annual meetings of
shareholders on June&nbsp;30, 2016. Shareholders voted as indicated below. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Global StocksPLUS &amp; Income Fund</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of Deborah A. DeCotis &#151; Class II to serve until the annual meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,056,878</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">439,609</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of Bradford K. Gallagher &#151; Class II to serve until the annual meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,071,898</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">424,589</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of James A. Jacobson &#151; Class II to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">9,069,901</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">426,586</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Trustees at the time of the meeting, namely, Messrs. Hans W. Kertess, William B. Ogden, IV, Alan Rappaport, Craig Dawson and John C. Maney continued to serve as Trustees of the Fund. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Dynamic Income Fund</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of Hans W. Kertess &#151; Class II to serve until the annual meeting held during
the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38,194,168</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">782,953</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of Alan Rappaport &#151; Class II to serve until the annual meeting held during
the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38,179,416</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">797,705</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of William B. Ogden, IV &#151; Class II to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">38,189,426</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">787,695</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Trustees at the time of the meeting, namely, Ms.&nbsp;Deborah&nbsp;A. DeCotis and Messrs. Bradford K. Gallagher, James&nbsp;A. Jacobson, John C. Maney and Craig A. Dawson continued to serve as Trustees of the Fund. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="85%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO Strategic Income Fund, Inc.</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Affirmative</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>Withheld<BR>Authority</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #cccccc"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of James A. Jacobson &#151; Class I to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35,044,079</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,720,191</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #ffffff"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Arial Narrow" SIZE="1">Re-election of William B. Ogden, IV &#151; Class I to serve until the annual Meeting held
during the 2018-2019 fiscal year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">35,046,352</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">1,717,918</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The other members of the Board
of Directors at the time of the meeting, namely, Ms.&nbsp;Deborah&nbsp;A. DeCotis and Messrs. Hans W. Kertess, Bradford K. Gallagher, Alan Rappaport, Craig A. Dawson and John C. Maney continued to serve as Directors of the Fund. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>115</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_17"></A>Investment Strategy Updates </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Effective October&nbsp;6, 2015, each Fund adopted the following non-fundamental investment
policy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The staff of the SEC has taken the position
that purchased OTC options and the assets used as cover for written OTC options should generally be treated as illiquid. However, the staff of the SEC has also taken the position that the determination of whether a particular instrument is liquid
should be made under guidelines and standards established by a fund&#146;s board of trustees/directors. The SEC staff has provided examples of factors that may be taken into account in determining whether a particular instrument should be treated as
liquid. Pursuant to policies adopted by the Fund&#146;s Board of Trustees, purchased OTC options and the assets used as cover for OTC options written by a Fund may be treated as liquid under certain circumstances, such as when PIMCO has the
contractual right to terminate or close out the OTC option on behalf of a Fund within seven days. These policies are not fundamental policies of the Funds and may be changed or modified by the Board of Trustees without the approval of shareholders,
provided that any such change or modification will be consistent with applicable positions of the SEC staff. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Effective April&nbsp;22, 2016, PIMCO Dynamic Credit and Mortgage Income Fund (formerly, PIMCO Dynamic Credit Income Fund) (hereinafter, the &#147;Fund&#148;) rescinded the following
non-fundamental policy: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Fund will normally
invest at least 50% of its net assets in corporate income-producing securities of varying maturities issued by U.S. or foreign (non-U.S.) corporations or other business entities, including emerging market issuers. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Effective July&nbsp;29, 2016, the Fund changed its name to PIMCO
Dynamic Credit and Mortgage Income Fund. In connection with the name change, the Fund rescinded the following non-fundamental investment policy (the &#147;Former Policy&#148;): </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Fund will normally invest at least 80% of its net assets
(plus any borrowings for investment purposes) in a portfolio of debt instruments of varying maturities (the &#147;80% policy&#148;). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For purposes of the 80% policy, debt instruments may include, without limitation, bonds, debentures, notes, and other debt securities of U.S.
and foreign (non-U.S.) corporate and other issuers, including commercial paper; mortgage-related and any other type of asset-backed securities issued on a public or private basis; U.S. Government securities; obligations of foreign governments or
their sub-divisions, agencies and government sponsored enterprises and obligations of international agencies and supranational entities; municipal securities and other debt securities issued by states or local governments and their agencies,
authorities and other government-sponsored enterprises, including taxable municipal securities (such as Build
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
America Bonds); payment-in-kind securities; zero-coupon bonds; inflation-indexed bonds issued by both governments and corporations; structured notes, including hybrid or indexed securities;
catastrophe bonds and other event-linked bonds; credit-linked notes; structured credit products; bank loans (including, among others, senior loans, delayed funding loans, revolving credit facilities and loan participations and assignments);
preferred securities; convertible debt securities (i.e., debt securities that may be converted at either a stated price or stated rate into underlying shares of common stock), including synthetic convertible debt securities (i.e., instruments
created through a combination of separate securities that possess the two principal characteristics of a traditional convertible security, such as an income-producing security and the right to acquire an equity security); and bank certificates of
deposit, fixed time deposits and bankers&#146; acceptances. The rate of interest on an income-producing security may be fixed, floating or variable. At any given time and from time to time substantially all of the Fund&#146;s portfolio may consist
of below investment grade securities. The Fund may invest in debt securities of stressed issuers. The Fund&#146;s investments in derivatives and other synthetic instruments that have economic characteristics similar to debt instruments will be
counted toward satisfaction of this 80% policy. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The
Former Policy was replaced in its entirety with the following new non-fundamental investment policy (the &#147;New Policy&#148;): </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Fund will normally invest at least 80% of its net assets (plus any borrowings for investment purposes) in a portfolio of mortgage-related
securities and other debt instruments of varying maturities (the &#147;80% policy&#148;). For purposes of the 80% policy, mortgage-related securities may include, without limitation, mortgage pass-through securities, collateralized mortgage
obligations (&#147;CMOs&#148;), commercial or residential mortgage-backed securities, mortgage dollar rolls, CMO residuals, stripped mortgage-backed securities (&#147;SMBSs&#148;) and other securities that directly or indirectly represent a
participation in, or are secured by and payable from, mortgage loans on real property. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">For purposes of the 80% policy, other debt instruments may include, without limitation, bonds, debentures, notes, and other debt securities of U.S. and foreign (non-U.S.) corporate and other
issuers, including commercial paper; asset-backed securities issued on a public or private basis; U.S. Government securities; obligations of foreign governments or their sub-divisions, agencies and government sponsored enterprises and obligations of
international agencies and supranational entities; municipal securities and other debt securities issued by states or local governments and their agencies, authorities and other government-sponsored enterprises, including taxable municipal
securities (such as Build America Bonds); payment-in-kind securities; zero-coupon bonds; inflation-indexed bonds issued by both governments and corporations; structured notes, including hybrid or indexed securities; catastrophe
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>116</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">bonds and other event-linked bonds; credit-linked notes; structured credit products; bank
loans (including, among others, senior loans, delayed funding loans, revolving credit facilities and loan participations and assignments); preferred securities; convertible debt securities (i.e., debt securities that may be converted at either a
stated price or stated rate into underlying shares of common stock), including synthetic convertible debt securities (i.e., instruments created through a combination of separate securities that possess the two principal characteristics of a
traditional convertible security, such as an income-producing security and the right to acquire an equity security); and bank certificates of deposit, fixed time deposits and bankers&#146; acceptances. The rate of interest on an income-producing
security may be fixed, floating or variable. At any given time and from time to time substantially all of the Fund&#146;s portfolio may consist of below investment grade securities. The Fund may invest in debt securities of stressed issuers. The
Fund&#146;s investments in derivatives and other synthetic instruments that have economic characteristics similar to mortgage-related securities or other debt instruments will be counted toward satisfaction of this 80% policy. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The New Policy became effective on July&nbsp;29, 2016 and may
only be changed by the Board of Trustees of the Fund after providing at least 60 days&#146; written notice to the Fund&#146;s shareholders pursuant to Rule&nbsp;35d-1 under the Investment Company Act of 1940, as amended. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The following risks are associated with the policies described
above: </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">To the extent that the Fund has increased
exposure to certain asset classes other than corporate income-producing securities, such as mortgage-related securities, as a result of the investment policy changes described above, the Fund may be exposed to increased risks associated with such
asset classes. </FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
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<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>117</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_18"></A>Dividend Reinvestment Plan </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Each Fund has adopted a Dividend Reinvestment Plan (the &#147;Plan&#148;) which allows common
shareholders to reinvest Fund distributions in additional common shares of the Fund. American Stock Transfer&nbsp;&amp; Trust Company, LLC (the &#147;Plan Agent&#148;) serves as agent for common shareholders in administering the Plan. It is
important to note that participation in the Plan and automatic reinvestment of Fund distributions does not ensure a profit, nor does it protect against losses in a declining market. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Automatic enrollment/voluntary
participation</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Under the Plan, common shareholders whose shares are registered with the Plan Agent (&#147;registered shareholders&#148;) are automatically enrolled as
participants in the Plan and will have all Fund distributions of income, capital gains and returns of capital (together, &#147;distributions&#148;) reinvested by the Plan Agent in additional common shares of a Fund, unless the shareholder elects to
receive cash. Registered shareholders who elect not to participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholder of record (or if the shares are held in street or other nominee name, to the
nominee) by the Plan Agent. Participation in the Plan is voluntary. Participants may terminate or resume their enrollment in the Plan at any time without penalty by notifying the Plan Agent online at www.amstock.com, by calling (844)&nbsp;33PIMCO
(844-337-4626), by writing to the Plan Agent, American Stock Transfer&nbsp;&amp; Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY&nbsp;10269-0560, or, as applicable, by completing and returning the transaction form attached to
a Plan statement. A proper notification will be effective immediately and apply to each Fund&#146;s next distribution if received by the Plan Agent at least three (3)&nbsp;days prior to the record date for the distribution; otherwise, a notification
will be effective shortly following the Fund&#146;s next distribution and will apply to the Fund&#146;s next succeeding distribution thereafter. If you withdraw from the Plan and so request, the Plan Agent will arrange for the sale of your shares
and send you the proceeds, minus a transaction fee and brokerage&nbsp;commissions. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">How shares are purchased under the
Plan</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;For each Fund distribution, the Plan Agent will acquire common shares for participants either (i)&nbsp;through receipt of newly issued common shares from each
Fund (&#147;newly issued shares&#148;) or (ii)&nbsp;by purchasing common shares of the Fund on the open market (&#147;open market purchases&#148;). If, on a distribution payment date, the net asset value per common shares of each Fund
(&#147;NAV&#148;) is equal to or less than the market price per common shares plus estimated brokerage commissions (often referred to as a &#147;market premium&#148;), the Plan Agent will invest the distribution amount on behalf of participants in
newly issued shares at a price equal to the greater of (i)&nbsp;NAV or (ii)&nbsp;95% of the market price per common share on the payment date. If the NAV is greater than the
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
market price per common shares plus estimated brokerage commissions (often referred to as a &#147;market discount&#148;) on a distribution payment date, the Plan agent will instead attempt to
invest the distribution amount through open market purchases. If the Plan Agent is unable to invest the full distribution amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan
Agent will invest any un-invested portion of the distribution in newly issued shares at a price equal to the greater of (i)&nbsp;NAV or (ii)&nbsp;95% of the market price per share as of the last business day immediately prior to the purchase date
(which, in either case, may be a price greater or lesser than the NAV per common shares on the distribution payment date). No interest will be paid on distributions awaiting reinvestment. Under the Plan, the market price of common shares on a
particular date is the last sales price on the exchange where the shares are listed on that date or, if there is no sale on the exchange on that date, the mean between the closing bid and asked quotations for the shares on the exchange on that date.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The NAV per common share on a particular date is the
amount calculated on that date (normally at the close of regular trading on the New York Stock Exchange) in accordance with each Fund&#146;s then current policies. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Fees and expenses</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;No brokerage charges are imposed on reinvestments in newly issued shares under the Plan.
However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. There are currently no direct service charges imposed on participants in the Plan, although each Fund
reserves the right to amend the Plan to include such charges. The Plan Agent imposes a transaction fee (in addition to brokerage commissions that are incurred) if it arranges for the sale of your common shares held under the Plan. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Shares held through nominees</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;In the case of a registered shareholder such as a broker, bank or other nominee
(together, a &#147;nominee&#148;) that holds common shares for others who are the beneficial owners, the Plan Agent will administer the Plan on the basis of the number of common shares certified by the nominee/record shareholder as representing the
total amount registered in such shareholder&#146;s name and held for the account of beneficial owners who are to participate in the Plan. If your common shares are held through a nominee and are not registered with the Plan Agent, neither you nor
the nominee will be participants in or have distributions reinvested under the Plan. If you are a beneficial owner of common shares and wish to participate in the Plan, and your nominee is unable or unwilling to become a registered shareholder and a
Plan participant on your behalf, you may request that your nominee arrange to have all or a portion of your shares re-registered with the Plan Agent in your
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>118</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">name so that you may be enrolled as a participant in the Plan. Please contact your nominee for
details or for other possible alternatives. Participants whose shares are registered with the Plan Agent in the name of one nominee firm may not be able to transfer the shares to another firm and continue to participate in the Plan. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"></FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Tax consequences</FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">&nbsp;&nbsp;Automatically reinvested dividends and distributions are taxed in the same manner&nbsp;as
cash dividends and distributions &#151; i.e., automatic reinvestment in additional shares does not relieve shareholders of, or defer the need to pay, any income tax that may be payable (or that is required to be withheld) on Fund dividends and
distributions. The Funds and the Plan Agent reserve the right to amend or terminate the Plan. Additional information about the Plan, as well as a copy of the full Plan itself, may be obtained from the Plan Agent, American Stock Transfer&nbsp;&amp;
Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY 10269-0560; telephone number: <FONT STYLE="white-space:nowrap">(844)&nbsp;33-PIMCO</FONT> (844-337-4626); website:&nbsp;www.amstock.com.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
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<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>119</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_19"></A>Management of the Funds </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The chart below identifies Trustees/Directors and Officers of
the Funds. Unless otherwise indicated, the address of all persons below is c/o Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Trustees/Directors </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
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<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Name&nbsp;And<BR>Year of Birth</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Position(s)<BR>Held<BR>with&nbsp;the<BR>Funds</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Term&nbsp;of<BR>Office&nbsp;and<BR>Length&nbsp;of<BR>Time&nbsp;Served</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Principal&nbsp;Occupation(s)<BR></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>During&nbsp;the&nbsp;Past&nbsp;5&nbsp;Years</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Number<BR>of&nbsp;Portfolios<BR>in&nbsp;Fund<BR>Complex<BR>Overseen&nbsp;by<BR>Trustee/<BR>Director</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other<BR>Directorships<BR>Held&nbsp;by<BR>Trustee/Director<BR>During&nbsp;the<BR>Past&nbsp;5&nbsp;
Years</B></FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="6" COLSPAN="11"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="11"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Independent Trustees/Director</B></FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Hans&nbsp;W.&nbsp;Kertess</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1939</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Chairman&nbsp;of&nbsp;the</FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Board,&nbsp;Trustee/Director</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Director of PCM and RCS since 2008, Trustee of PCI since 2013, Trustee of PGP since 2005, Trustee of PKO since 2007 and Trustee of PDI since 2012, expected to stand for
re-election at the annual meeting of shareholders held during the 2016-2017 fiscal year for PCM, PCI and RCS, the <FONT STYLE="white-space:nowrap">2017-2018</FONT> fiscal year for PKO and PGP and the 2018-2019 fiscal year for PDI.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">President, H. Kertess &amp; Co., a financial advisory company. Senior Adviser, Royal Bank of Canada Capital Markets. Formerly, Managing Director and Consultant, Royal
Bank of Canada Capital Markets.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Deborah&nbsp;A.&nbsp;DeCotis</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1952</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of RCS, PGP, PCM and PKO since 2011, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting
of shareholders held during the 2017-2018 fiscal year for PCM, PKO, RCS and PDI and the 2018-2019 fiscal year for PCI and PGP.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Advisory&nbsp;Director,&nbsp;Morgan&nbsp;Stanley&nbsp;&amp;&nbsp;Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); and Member, Council on Foreign
Relations (since 2013). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Trustee, Stanford University (2010- 2015); Principal, LaLoop LLC, a retail accessories company (1999-2014); Director, Helena Rubenstein
Foundation (1997-2010); and Director, Armor Holdings (2002-2010).</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Bradford&nbsp;K.&nbsp;Gallagher</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1944</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting
of shareholders held during the 2016-2017 fiscal year for RCS, PKO, PDI and PCM, the 2017-2018 fiscal year for PCI and the 2018-2019 fiscal year for PGP.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Chairman and Trustee, The Common Fund (2005-2014); Partner, New
Technology Ventures Capital Management LLC, a venture capital fund (2011-2013); Chairman and Trustee, Atlantic Maritime Heritage Foundation (2007-2012); and Founder, President and CEO, Cypress Holding Company and Cypress Tree Investment Management
Company <FONT STYLE="white-space:nowrap">(1995-2001).</FONT></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Formerly,&nbsp;Chairman&nbsp;and Trustee of Grail Advisors ETF Trust (2009- 2010); and Trustee of Nicholas- Applegate Institutional Funds (2007-2010).</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>James A. Jacobson</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1945</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of RCS, PCM, PGP and PKO since 2009, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting
of shareholders held during the 2016-2017 fiscal year for PDI, the 2017-2018 fiscal year for PCI and the 2018-2019 fiscal year for RCS, PGP, PCM and PKO.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; and Trustee, New Jersey City University (since
2014). Formerly, Vice Chairman and Managing Director, Spear, Leeds &amp; Kellogg Specialists, LLC, a specialist firm on the New York Stock Exchange (2003-2008).</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee, Alpine Mutual Funds Complex consisting of 18 funds.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>William B. Ogden, IV</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1945</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of PCM, RCS and PKO since 2008, Trustee of PGP since 2006, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for reelection at
the annual meeting of shareholders held during the 2016-2017 fiscal year for PCI, the 2017-2018 fiscal year for PKO and PGP, and the 2018-2019 fiscal year for RCS, PCM and PDI.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>120</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR></TABLE>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited)
</FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="12%"></TD></TR>

<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Name&nbsp;And<BR>Year of Birth</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Position(s)<BR>Held<BR>with&nbsp;the<BR>Funds</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Term&nbsp;of<BR>Office&nbsp;and<BR>Length&nbsp;of<BR>Time&nbsp;Served</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Principal&nbsp;Occupation(s)<BR></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>During&nbsp;the&nbsp;Past&nbsp;5&nbsp;Years</B></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Number<BR>of&nbsp;Portfolios<BR>in&nbsp;Fund<BR>Complex<BR>Overseen&nbsp;by<BR>Trustee/<BR>Director</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Other<BR>Directorships<BR>Held&nbsp;by<BR>Trustee/Director<BR>During&nbsp;the<BR>Past&nbsp;5&nbsp;
Years</B></FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Alan Rappaport</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1953</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand
for re-election at the annual meeting of shareholders held during the 2016-2017 fiscal year for PGP, PCI and PKO, the <FONT STYLE="white-space:nowrap">2017-2018</FONT> fiscal year for RCS and PCM and the 2018-2019 fiscal year for PDI.</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University
Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); Director, Victory Capital Holdings, Inc., an asset management firm (since 2013);&nbsp;and Member of Board of Overseers, NYU Langone
Medical Center (since 2015). Formerly, Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); Vice Chairman, US Trust (formerly Chairman and President of Private Bank of Bank of America, the
predecessor entity of US Trust) (2001-2008).</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">90</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6" COLSPAN="11"></TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="11"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Interested Trustees/Directors</B></FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Craig A. Dawson*</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1968</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director of the Funds since 2014, expected to stand for re-election at the annual meeting of shareholders held during the 2016-2017 fiscal year for PDI and PKO,
the 2017-2018 fiscal year for RCS, PGP, PCI and PCM.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Managing Director and Head of PIMCO Europe, Middle East and Africa (since 2016). Director of a number of PIMCO&#146;s Europeans investment vehicles and affiliates
(since 2008). Formerly, Head of Strategic Business Management, PIMCO (2014-2016), head of PIMCO&#146;s Munich office and head of European product management for PIMCO.</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>John C. Maney**</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1959</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Trustee/Director</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Director of RCS and PCM since 2008, Trustee of PGP since 2006, Trustee of PKO since 2007, Trustee of PDI since 2012 and Trustee
of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2016-2017 fiscal year for PCM, RCS and PGP, the 2017-2018 fiscal year for PDI and the 2018-2019 fiscal year for PCI and PKO.</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Managing Director of Allianz Asset Management of America L.P. (since January 2005) and a member of the Management Board and
Chief Operating Officer of Allianz Asset Management of America L.P. (since November 2006). Formerly, Member of the Management Board of Allianz Global Investors Fund Management LLC <FONT STYLE="white-space:nowrap">(2007-2014)</FONT> and Managing
Director of Allianz Global Investors Fund Management LLC (2011-2014).</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">25</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">None</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Mr.&nbsp;Dawson is an &#147;interested person&#148; of the Funds, as defined in Section&nbsp;2(a)(19) of the Act, due to his affiliation with PIMCO and its
affiliates. Mr.&nbsp;Dawson&#146;s address is 650 Newport Center Drive, Newport Beach, CA 92660. </FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">**</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Mr.&nbsp;Maney is an &#147;interested person&#148; of the Funds, as defined in Section&nbsp;2(a)(19) of the Act, due to his affiliation with Allianz Asset
Management of America L.P. and its affiliates. Mr.&nbsp;Maney&#146;s address is 650 Newport Center Drive, Newport Beach, CA 92660. </FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">

<TR>
<TD WIDTH="74%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>121</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Management of the Funds <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT> </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Officers </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="12%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="64%"></TD></TR>
<TR>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Name,&nbsp;Address&nbsp;and<BR>Year of Birth</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Position(s)<BR>Held<BR>with Funds</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Term&nbsp;of&nbsp;Office<BR>and&nbsp;Length<BR>of&nbsp;Time&nbsp;Served</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Principal Occupation(s) During Past 5 Years*</B></FONT></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Peter&nbsp;G.&nbsp;Strelow<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1970</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">President</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since&nbsp;2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Managing Director, PIMCO. President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series
VIT.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Youse Guia<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1972</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Chief Compliance Officer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Senior Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Managed Funds. Formerly, Head of Compliance, Allianz Global Investors
U.S. Holdings LLC and Chief Compliance Officer of the Allianz Funds, Allianz Multi-Strategy Trust, Allianz Global Investors Sponsored Closed-End Funds, Premier Multi-Series VIT and The Korea Fund, Inc.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Joshua D. Ratner</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1976</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Vice President, Secretary and Chief Legal Officer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Executive Vice President and Senior Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President, Secretary and Chief Legal Officer, PIMCO-Managed Funds.
Vice President&nbsp;&#151;&nbsp;Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Ryan G. Leshaw<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1980</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Assistant Secretary</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity
Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr &amp; Gallagher LLP.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Stacie D. Anctil<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1969</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Vice President</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2015</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity
Series VIT.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Eric D. Johnson</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1970</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Vice President</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity
Series VIT.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>William&nbsp;G.&nbsp;Galipeau<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1974</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Treasurer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Executive Vice President, PIMCO. Treasurer, PIMCO-Managed Funds. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and
PIMCO Equity Series VIT. Formerly, Vice President, Fidelity Investments.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Erik C. Brown<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1967</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Assistant Treasurer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2015</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO
Equity Series VIT.</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Jason J. Nagler</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1982</I></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Assistant Treasurer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2015</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity
Series VIT. Formerly, Head of Mutual Fund Reporting, GMO, and Assistant Treasurer, GMO Trust and GMO Series Trust Funds.</FONT></TD></TR>
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<TD HEIGHT="6"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD>
<TD HEIGHT="6" COLSPAN="2"></TD></TR>
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<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><B>Trent W. Walker<SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><I>1974</I></FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Assistant Treasurer</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Since 2014</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds. Treasurer, PIMCO Funds, PIMCO Variable Insurance
Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.</FONT></TD></TR>
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<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333">The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660.
</FONT></P></TD></TR></TABLE>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>122</B></FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_20"></A>Approval of Investment Management Agreement </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">At an in-person meeting held on June&nbsp;7, 2016 (the &#147;Approval Meeting&#148;), the
Board of Trustees or Directors (for purposes of this disclosure, all Board members are hereinafter referred to as &#147;Trustees&#148;) of the Funds (the &#147;Board&#148;), including the Trustees who are not interested persons (as that term is
defined in the Act) of the Funds or PIMCO (the &#147;Independent Trustees&#148;), formally considered and unanimously approved the continuation of the Investment Management Agreement between each Fund and PIMCO (the &#147;Agreement&#148;) for an
additional one-year period commencing on September&nbsp;5, 2016. Prior to the Approval Meeting, the Contracts Review Committee of the Board of each Fund (together, the &#147;Committee&#148;) held an in-person meeting on June&nbsp;7, 2016 (the
&#147;Committee Meeting&#148;) and formally considered and recommended to the Board the continuation of the Agreement for each Fund. Prior to the Approval Meeting, on May&nbsp;4, 2016, the Chair of the Committee participated in a conference call
with members of management and PIMCO personnel and counsel to the Independent Trustees (&#147;Independent Counsel&#148;) to discuss the process for the Board&#146;s review of the Agreement and to consider certain information relating to the Funds,
including, among other information, information relating to PIMCO&#146;s profitability with respect to the Agreement, comparative fees and expenses and Fund performance. On April&nbsp;29, 2016, PIMCO provided materials to the Committee for its
consideration of the Agreement in response to a request from Independent Counsel (the &#147;Manager Request Letter&#148;), as well as other materials and information PIMCO believed was useful in evaluating the continuation of the&nbsp;Agreement.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">On May&nbsp;23, 2016, the Committee held a meeting
<I>via</I> conference call (collectively with the May&nbsp;4, 2016 conference call, Committee Meeting and the Approval Meeting, the &#147;Contract Renewal Meetings&#148;), at which the members of the Committee, all of whom are Independent Trustees,
considered the materials and information provided by PIMCO bearing on the continuation of the Agreement. The Committee also received and reviewed a memorandum from counsel to the Funds regarding the Trustees&#146; responsibilities in evaluating the
Agreement, which they discussed with Independent Counsel. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">At the Committee Meeting and Approval Meeting, PIMCO presented certain additional supplemental information to the Independent Trustees regarding the Funds. Following the presentation at the
Committee Meeting, the Independent Trustees met separately in executive session with Independent Counsel to review and discuss all relevant information, including, but not limited to, information provided in response to the Manager Request Letter
and information presented and discussed at the prior Contract Renewal Meetings. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In connection with their deliberations regarding the proposed continuation of the Agreement for each Fund, the Trustees, including
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
the Independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The Trustees
also considered the nature, quality and extent of the various investment management, administrative and other services performed by PIMCO under the&nbsp;Agreement. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">It was noted that, in connection with their Contract Renewal
Meetings, the Trustees relied upon materials provided by PIMCO which included, among other items: (i)&nbsp;information provided by Broadridge Financial Solutions, Inc./Lipper Inc. (&#147;Lipper&#148;), an independent third party, on the total return
investment performance (based on net asset value and common share market price) of the Funds for various time periods, the investment performance of a group of funds with investment classifications/objectives comparable to those of the Funds
identified by Lipper (the &#147;Lipper performance universe&#148;) and, with respect to each Fund, the performance of an applicable benchmark index, if any, (ii)&nbsp;information provided by Lipper on each Fund&#146;s management fees and other
expenses under the Agreement and the management fees and other expenses of a smaller sample of comparable funds identified by Lipper (the &#147;Lipper expense group&#148;) as well as of a larger sample of comparable funds identified by Lipper (the
&#147;Lipper expense universe&#148;), (iii)&nbsp;information regarding the market value performance of each Fund&#146;s common shares and related share price premium and/or discount information, (iv)&nbsp;information regarding the investment
performance and fees for other funds and accounts managed by PIMCO, if any, with similar investment strategies to those of the Funds, (v)&nbsp;the estimated profitability to PIMCO with respect to the Funds for the one-year period ended
December&nbsp;31, 2015, (vi)&nbsp;descriptions of various functions performed by PIMCO for the Funds, such as portfolio management, compliance monitoring and portfolio trading practices, (vii)&nbsp;information regarding PIMCO&#146;s compliance
policies applicable to the Funds, (viii)&nbsp;information regarding the Funds&#146; use of leverage, (ix)&nbsp;a comparison of each Fund&#146;s annualized total expense ratio as a percentage of average net assets attributable to common shareholders
(excluding interest expenses) under the unified fee arrangements (the &#147;Unified Fee Arrangements&#148;) for the three most recent fiscal periods, as disclosed in each Fund&#146;s annual report, (x)&nbsp;summaries assigning a quadrant placement
to each Fund based on an average of certain measures of performance and fees/expenses versus Lipper peer group medians (the &#147;Fund Scoring Summaries&#148;), (xi)&nbsp;fact cards for each Fund that included summary information regarding each
Fund, (xiii)&nbsp;information regarding the yields of the Funds, (xiv)&nbsp;information regarding the risk-adjusted returns of the Funds, and (xv)&nbsp;information regarding the overall organization of PIMCO, including information regarding senior
management, portfolio managers and other personnel providing investment management, administrative, compliance and other services to the Funds.
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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Approval of Investment Management Agreement <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT>
</B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The
Trustees&#146; conclusions as to the continuation of the Agreement were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in
the Trustees&#146; deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors. The Trustees also took into account that
the Funds&#146; current fee and expense arrangements were closely reviewed in 2014 in connection with the proposed transition from Allianz Global Investors Fund Management LLC (&#147;AGIFM&#148;) to PIMCO as the Funds&#146; investment manager, and
that the Agreement had been approved by the shareholders of each Fund at special shareholder meetings in 2014. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As part of their review, the Trustees examined PIMCO&#146;s abilities to provide high-quality investment management and other services to the Funds. Among other information, the Trustees
considered the investment philosophy and research and decision-making processes of PIMCO; the experience of key advisory personnel of PIMCO responsible for portfolio management of the Funds; the ability of PIMCO to attract and retain capable
personnel; and the capabilities of the senior management and staff of PIMCO. In addition, the Trustees reviewed the quality of PIMCO&#146;s services with respect to regulatory compliance and compliance with the investment policies of the Funds; the
nature and quality of the supervisory and administrative services PIMCO is responsible for providing to the Funds; and conditions that might affect PIMCO&#146;s ability to provide high-quality services to the Funds in the future under the Agreement,
including PIMCO&#146;s financial condition and operational stability. Based on the foregoing, the Trustees concluded that PIMCO&#146;s investment process, research capabilities and philosophy were well suited to the Funds given their investment
objectives and policies, and that PIMCO would be able to continue to meet any reasonably foreseeable obligations under the Agreement. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In assessing the reasonableness of each Fund&#146;s fees under the Agreement, the Trustees considered, among other information, the
Fund&#146;s management fee and its total expense ratio as a percentage of average net assets attributable to common shares and as a percentage of average managed assets (including assets attributable to common shares and leverage outstanding
combined), and the management fee and total expense ratios of the Lipper expense group and Lipper expense universe for each Fund. In each case, the total expense ratio information was provided both inclusive and exclusive of interest and borrowing
expenses. Fund-specific comparative fees/expenses reviewed by the Trustees are discussed below. The Fund-specific fee and expense results discussed below were prepared and provided by Lipper and were not independently verified by the Trustees.
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees specifically took note of how each Fund compared to its Lipper peers as to
performance, management fee expense and total expense ratio. The Trustees noted that, while the Funds are not currently charged a separate administration fee (recognizing that their management fees include a component for administrative services
under the Unified Fee Arrangements), it was not clear in all cases whether the peer funds in the Lipper categories were separately charged such a fee by their investment managers, so that the total expense ratio, as opposed to any individual expense
component, represented the most relevant comparison. The Trustees also considered that the total expense ratio seems to provide a more apt comparison than management fee expense because the Funds&#146; Unified Fee Arrangements cover Operating
Expenses (defined below) that are typically paid for or incurred by peer funds directly in addition to their management fees as discussed below. It was noted that the total expense ratio comparisons reflect the effect of expense
waivers/reimbursements, if any. The Trustees considered total expense ratio comparisons both including and excluding interest and borrowing expenses. The Trustees noted that only leveraged closed-end funds were considered for inclusion in the Lipper
expense groups and Lipper expense universes presented for comparison with the Funds. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that, for each Fund, with the exception of PCM, the contractual management fee rate for the Fund under its Unified Fee Arrangement was above the median contractual
management fees of the other funds in its Lipper expense group, calculated both on average net assets and on average managed assets. However, in this regard, the Trustees took into account that each Fund&#146;s Unified Fee Arrangement covers
substantially all of the Fund&#146;s other supervisory and administrative services required by the Fund that are typically paid for or incurred by closed-end funds directly in addition to a fund&#146;s management fee (such fees and expenses,
&#147;Operating Expenses&#148;) and therefore would tend to be higher than the contractual management fee rates of other funds in the Lipper peer groups, which generally do not have a unified fee structure and bear Operating Expenses directly and in
addition to the management fee. The Trustees determined that a review of each Fund&#146;s total expense ratio with the total expense ratios of peer funds would generally provide more meaningful comparisons than considering contractual management fee
rates in isolation. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In this regard, the Trustees
noted PIMCO&#146;s view that the Unified Fee Arrangements have benefited and will continue to benefit common shareholders because they provide a management fee expense structure (including Operating Expenses) that is essentially fixed as a
percentage of managed assets, making it more predictable under ordinary circumstances in comparison to fee and expense structures, such as the structure in place for the Funds prior to September&nbsp;6, 2014, under which the Funds&#146; Operating
Expenses (including certain </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><FONT STYLE="white-space:nowrap">third-party</FONT> fees and expenses) can vary significantly
over time. The Trustees also considered that the Unified Fee Arrangements generally insulate the Funds and common shareholders from increases in applicable third-party and certain other expenses because PIMCO, rather than the Funds, would bear the
risk of such increases (though the Trustees also&nbsp;noted that PIMCO would benefit from any reductions in such&nbsp;expenses). </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that the annualized total expense ratios (excluding interest expenses) as a percentage of average net assets attributable
to common shareholders for PGP, PCI, PCM and PKO were slightly higher under the Unified Fee Arrangements than they were under the investment management agreement with AGIFM. It was noted that, with respect to PGP, PCM and PKO, the increase was
largely due to increases in managed assets from increased leverage and, for PGP, PCM, PCI and PKO, decreased average net assets attributable to common shares. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Fund-specific comparative performance results for the Funds reviewed by the Trustees are discussed below. The comparative performance
information was prepared and provided by Lipper and was not independently verified by the Trustees. Due to the passage of time, these performance results may differ from the performance results for more recent periods. With respect to all Funds, the
Trustees reviewed, among other information, comparative information showing performance of the Funds against the Lipper performance universes for the one-year, three-year, five-year and ten-year periods (to the extent each such Fund had been in
existence) ended December&nbsp;31, 2015. The Trustees also reviewed the Fund Scoring Summaries prepared by PIMCO at the Independent Trustees&#146; request comparing each Fund&#146;s fees/expenses and performance against those of its Lipper
performance universe and Lipper expense universe by identifying a quadrant designation based on the average of six different measures of fees/expenses versus performance (one-year, three-year and five-year performance for the period ended
December&nbsp;31, 2015, in each case, versus a Fund&#146;s management fees or total expense ratio). The Fund Scoring Summaries were based both on net assets and averaged managed assets and in each case both inclusive and exclusive of interest and
borrowing expenses. In addition, the Trustees also reviewed fact cards for each Fund that included summary information regarding each Fund, including investment objective and strategy, portfolio managers, assets under management, outstanding
leverage, net asset value and market performance comparisons, comparative fee and expense information, premium/discount information and information regarding PIMCO&#146;s estimated profitability. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In addition, it was noted that the Trustees considered matters
bearing on the Funds and their advisory arrangements at their meetings
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
throughout the year, including a review of performance data at each regular meeting. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Among other information, the Trustees took into account the following regarding particular Funds. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>PGP </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return
performance (based on net asset value) relative to its respective Lipper performance universe, consisting of two funds, the Trustees noted that the Fund ranked first out of two funds for the one-year, three-year and five-year periods ended
December&nbsp;31, 2015. For the ten-year period, the Trustees noted that the Fund was the only fund within its Lipper performance universe. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that the Lipper expense group for the Fund consisted of a total of seven funds, including the Fund. The Trustees also
noted that the average net assets of the common shares of the funds in the group ranged from $123.1 million to $287.1 million, and that four of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper
expense universe for the Fund consisted of a total of 14 funds, including the Fund. The Trustees noted that the Fund&#146;s total expense ratio (including interest and borrowing expenses) calculated on average managed assets and average net assets
was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing
expenses) calculated on average managed assets was at the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund&#146;s total expense ratio (excluding
interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense universe. The Trustees noted that the Fund&#146;s total
expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>PKO </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return performance (based on net asset value) relative to its
respective Lipper performance universe, consisting of 12 funds for one-year performance, 11 funds for three-year performance and eight funds for five-year performance, the Trustees noted that the Fund had third quintile performance for the one-year
and first quintile performance for the three-year and five-year periods ended December&nbsp;31, 2015. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>125</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Approval of Investment Management Agreement <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT>
</B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees
noted that the Lipper expense group for the Fund consisted of a total of seven funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $93.3 million to $373.2 million,
and that three funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund&#146;s total expense
ratio (including interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The
Trustees noted that the Fund&#146;s total expense ratio (including interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper
expense group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was at the median total expense ratio (excluding interest and
borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio
(excluding interest and borrowing expenses) of the funds in its Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median
total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>PCM </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of nine funds for one-year
performance, eight funds for three-year and five-year performance and five funds for <FONT STYLE="white-space:nowrap">ten-year</FONT> performance, the Trustees noted that the Fund had fourth quintile performance for the one-year period, third
quintile performance for the three-year period and first quintile performance for the five-year and ten-year periods ended December&nbsp;31, 2015. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that the Lipper expense group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted
that the average net assets of the common shares of the funds in the group ranged from $60.8 million to $457.9 million, and that all of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense
universe for the Fund consisted of a total of nine funds, including the Fund. The Trustees noted that the Fund&#146;s total expense ratio (including interest and borrowing expenses) calculated on average managed assets was below the median total
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio
(including interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees
noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense
group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing
expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was at the median total expense ratio (excluding interest
and borrowing expenses) of the funds in its Lipper expense universe. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2"><B>RCS </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 12 funds for one-year
performance, 11 funds for three-year performance, eight funds for five-year performance and six funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the first-year, three-year, five-year and ten-year
periods ended December&nbsp;31, 2015. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees
noted that the Lipper expense group for the Fund consisted of a total of seven funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the expense group ranged from $93.3 million to $373.2
million, and that one of the funds in the group was larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund&#146;s
total expense ratio (including interest and borrowing expenses) calculated on average managed assets and average net assets were below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense
group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets and average net assets were below the median total expense ratio
(excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2"><B>PCI </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return performance (based on net asset value) relative to its respective Lipper
performance </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>126</B></FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">universe, consisting of 12 funds, the Trustees noted that the Fund had third quintile
performance for the one-year period ended December&nbsp;31, 2015 and first quintile performance for the period from the Fund&#146;s inception on January&nbsp;31, 2013 until December&nbsp;31, 2015. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that the Lipper expense group for the Fund
consisted of a total of five funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $216.5 million to $1.551 billion and that no funds in the group were larger in
asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund&#146;s total expense ratio (including interest and borrowing expenses)
calculated on average managed assets was at the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund&#146;s total expense ratio (including interest and
borrowing expenses) calculated on average managed assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio
(including interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees
noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was at the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense
group. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in
its Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing
expenses) of the funds in its Lipper expense group and Lipper expense universe. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2"><B>PDI </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">With respect to the Fund&#146;s common share total return performance (based on net asset value) relative to its respective Lipper
performance universe, consisting of 12 funds for the one-year performance, 11 funds for the three-year and since inception performance, the Trustees noted that the Fund had first quintile performance for the one-year and <FONT
STYLE="white-space:nowrap">three-year</FONT> periods ended December&nbsp;31, 2015 and for the period from the Fund&#146;s inception on May&nbsp;30, 2012 until December&nbsp;31, 2015. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees noted that the Lipper expense group for the Fund consisted of a total of five funds, including the
Fund. The Trustees also noted that the average net assets of the common shares of the funds in
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
the group ranged from $216.5 million to $1.480 billion and that no funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund
consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund&#146;s total expense ratio (including interest and borrowing expenses) calculated on average managed assets and average net assets were above the median total
expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing expenses) calculated on
average managed assets was at the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund&#146;s total expense ratio (excluding interest and borrowing
expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense universe. The Trustees noted that the Fund&#146;s total expense ratio (excluding
interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In addition to their review of Fund performance based on net
asset value, the Trustees also considered the market value performance of each Fund&#146;s common shares and related share price premium and/or discount information based on the materials provided by Lipper and&nbsp;PIMCO. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees also considered the management fees charged by
PIMCO to other funds and accounts with similar strategies to those of the Funds, if any, including any similar open-end funds. The Trustees noted that the management fees paid by the Funds are generally higher than the fees paid by any open-end
funds offered for comparison, but were advised by PIMCO that there are additional portfolio management challenges in managing closed-end funds such as the Funds, such as those associated with less liquid holdings, the use of leverage, issues
relating to trading on a national exchange and attempting to meet a regular dividend. With respect to PGP and RCS, the Trustees were advised that PIMCO does not manage any funds or accounts which have an investment strategy or return profile bearing
similarities to those Funds. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees also took
into account that all Funds, with the exception of RCS, pay management fees on assets attributable to types of leverage that they use (such as reverse repurchase agreements) under the Agreement (because each Fund&#146;s fees, except those of RCS,
are calculated based on total managed assets, including assets attributable to reverse repurchase agreements and/or certain other forms of leverage outstanding).&nbsp;They noted that RCS&#146;s management fees are
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>127</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>Approval of Investment Management Agreement <FONT STYLE="font-family:Arial Narrow" SIZE="1">(Cont.)</FONT>
</B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
based on daily net assets, including net assets attributable to any preferred shares that may be outstanding, but that RCS does not have any preferred shares outstanding. In this regard, the
Trustees took into account that PIMCO has a financial incentive for the Funds to continue to use leverage, which may create a conflict of interest between PIMCO, on one hand, and the Funds&#146; common shareholders, on the other. The Trustees
further noted that this incentive may be greater under the Unified Fee Arrangements because the contractual management fee rates under the Unified Fee Agreements are higher for each Fund than the Fund&#146;s management fee would otherwise be if it
did not cover the Fund&#146;s Operating Expenses &#151; i.e., in comparison to their non-unified management fee rates in place prior to September&nbsp;6, 2014 &#151; with the exception of PCI and PDI, which have the same management fee rates at they
did prior to September&nbsp;6, 2014. Therefore, with the exception of PCI and PDI, the total fees paid by each Fund to PIMCO under the Unified Fee Arrangements will therefore vary more with increases and decreases in applicable leverage incurred by
a Fund than under its prior non-unified fee arrangement, all things being equal. The Trustees considered information provided by PIMCO and related presentations as to why each Fund&#146;s use of leverage continues to be appropriate and in the best
interests of the respective Fund under current market conditions. The Trustees also considered PIMCO&#146;s representation that it will use leverage for the Funds solely as it determines to be in the best interests of the Funds from an investment
perspective and without regard to the level of compensation PIMCO receives. The Trustees noted that RCS does not pay fees on assets attributable to the types of leverage that the Fund currently employs. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees also considered estimated profitability analyses
provided by PIMCO, which included, among other information, (i)&nbsp;the estimated profitability to PIMCO with respect to each Fund for the one-year period ended December&nbsp;31, 2015, (ii)&nbsp;information comparing the estimated profitability to
PIMCO with respect to all of the closed-end funds advised by PIMCO, including the Funds, for the one-year period ended December&nbsp;31, 2015 for serving as the Funds&#146; investment manager to the profitability to PIMCO with respect to all of the <FONT
STYLE="white-space:nowrap">closed-end</FONT> funds advised by PIMCO, including the Funds, for the <FONT STYLE="white-space:nowrap">one-year</FONT> period ended December&nbsp;31, 2014 for serving as the sub-adviser from January&nbsp;1, 2014 through
the close of business on September&nbsp;5, 2014, and for serving as the Funds&#146; investment manager from September&nbsp;6, 2014 through December&nbsp;31, 2014; (iii)&nbsp;PIMCO&#146;s estimated pre- and post-distribution operating margin for each
Fund, as well as PIMCO&#146;s estimated pre- and post-distribution operating margin for all of the closed-end funds advised by PIMCO, including the Funds; and (iv)&nbsp;an overview of PIMCO&#146;s estimated profitability with respect to all of the
closed-end funds advised by PIMCO, including the Funds, compared to PIMCO&#146;s profitability with respect to its other
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
clients, including PIMCO-advised separate accounts, open-end funds and hedge funds and private equity funds. The Trustees also took into account explanations from PIMCO regarding how certain
corporate and shared expenses were allocated among the Funds and other funds and accounts managed by PIMCO for purposes of developing profitability estimates. Based on the profitability analyses provided by PIMCO, the Trustees determined, taking
into account the various assumptions made, that such profitability did not appear to be excessive. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees also took into account the entrepreneurial and business risk PIMCO has undertaken as investment manager and sponsor of the&nbsp;Funds. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Trustees also took into account that the Funds do not
currently have any breakpoints in their management fees and, as closed-end investment companies, the Funds did not at the time of the review intend to raise additional assets, so the assets of the Funds were expected to grow (if at all) principally
through the investment performance of each Fund and/or the increased use of leverage. The Trustees also considered that the Unified Fee Arrangements provide inherent economies of scale because a Fund maintains competitive fixed unified fees even if
the particular Fund&#146;s assets decline and/or operating costs rise. The Trustees further considered that, in contrast, breakpoints are a proxy for charging higher fees on lower asset levels and that when a fund&#146;s assets decline, breakpoints
may reverse, which causes expense ratios to increase. The Trustees also considered that, unlike the Funds&#146; Unified Fee Arrangements, funds with &#147;pass through&#148; administrative fee structures may experience increased expense ratios when
fixed dollar fees are charged against declining fund assets. The Trustees also considered that the Unified Fee Arrangements protect shareholders from a rise in operating costs that may result from, including, among other things, PIMCO&#146;s
investments in various business enhancements and infrastructure. The Trustees noted that PIMCO has made extensive investments in these areas. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Additionally, the Trustees considered so-called &#147;fall-out benefits&#148; to PIMCO, such as reputational value derived from serving as
investment manager to the Funds and research, statistical and quotation services PIMCO may receive from broker-dealers executing the Funds&#146; portfolio transactions on an agency basis. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">After reviewing these and other factors described herein, the Trustees concluded, with respect to each Fund,
within the context of their overall conclusions regarding the Agreement and based on the information provided and related representations made by management, that they were satisfied with PIMCO&#146;s responses and efforts relating to the investment
performance of the Funds. The Trustees also concluded that the fees payable under the Agreement represent reasonable compensation in light of the nature, extent and
</FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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<TR>
<TD></TD>
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<TD WIDTH="95%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>128</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">quality of services provided by PIMCO. Based on their evaluation of factors that they deemed
to be material, including those factors described above, the Trustees, including the Independent Trustees, unanimously concluded that the continuation of the Agreement was in&nbsp;the interests of each Fund and its shareholders, and should
be&nbsp;approved. </FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TR>
<TD WIDTH="74%"></TD>
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<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>129</B></FONT></TD></TR></TABLE></DIV>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B><A NAME="tx210014_21"></A>Privacy Policy<FONT STYLE="font-family:Arial Narrow" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP></FONT> </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds</FONT><FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">2</SUP></FONT><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"> consider customer privacy to be a
fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders&#146; non-public personal information. The Funds have
developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">OBTAINING PERSONAL INFORMATION </FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">In the course of providing shareholders with products and services, the Funds and certain service providers to the Funds, such as the
Funds&#146; investment adviser or sub-adviser (&#147;Adviser&#148;), may obtain non-public personal information about shareholders, which may come from sources such as account applications and other forms, from other written, electronic or verbal
correspondence, from shareholder transactions, from a shareholder&#146;s brokerage or financial advisory firm, financial advisor or consultant, and/or from information captured on applicable websites. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">RESPECTING YOUR PRIVACY </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">As a matter of policy, the Funds do not disclose any non-public
personal information provided by shareholders or gathered by the Funds to non-affiliated third parties, except as required or permitted by law or as necessary for such third parties to perform their agreements with respect to the Funds. As is common
in the industry, non-affiliated companies may from time to time be used to provide certain services, such as preparing and mailing prospectuses, reports, account statements and other information, conducting research on shareholder satisfaction and
gathering shareholder proxies. The Funds or their affiliates may also retain non-affiliated companies to market Fund shares or products which use Fund shares and enter into joint marketing arrangements with them and other companies. These companies
may have access to a shareholder&#146;s personal and account information, but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third
party, but the Funds may also provide a shareholder&#146;s personal and account information to the shareholder&#146;s respective brokerage or financial advisory firm and/or financial advisor or consultant. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">SHARING INFORMATION WITH THIRD PARTIES </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds reserve the right to disclose or report personal or
account information to non-affiliated third parties in limited circumstances where the Funds believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, to protect their rights or
property, or upon reasonable request by any fund advised by PIMCO in which a shareholder has invested. In addition, the Funds may disclose information about a shareholder or a
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">
shareholder&#146;s accounts to a non-affiliated third party at the shareholder&#146;s request or with the consent of the shareholder. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">SHARING INFORMATION WITH AFFILIATES </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds may share shareholder information with their
affiliates in connection with servicing shareholders&#146; accounts, and subject to applicable law may provide shareholders with information about products and services that the Funds or their Adviser or its affiliates (&#147;Service
Affiliates&#148;) believe may be of interest to such shareholders. The information that the Funds may share may include, for example, a shareholder&#146;s participation in the Funds or in other investment programs sponsored by a Service Affiliate, a
shareholder&#146;s ownership of certain types of accounts (such as IRAs), information about the Funds&#146; experiences or transactions with a shareholder, information captured on applicable websites, or other data about a shareholder&#146;s
accounts, subject to applicable law. The Funds&#146; Service Affiliates, in turn, are not permitted to share shareholder information with non-affiliated entities, except as required or permitted by law. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PROCEDURES TO SAFEGUARD PRIVATE INFORMATION </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">The Funds take seriously the obligation to safeguard
shareholder non-public personal information. In addition to this policy, the Funds have implemented procedures that are designed to restrict access to a shareholder&#146;s non-public personal information to internal personnel who need to know that
information to perform their jobs, such as servicing shareholder accounts or notifying shareholders of new products or services. Physical, electronic and procedural safeguards are in place to guard a shareholder&#146;s non-public personal
information. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">INFORMATION COLLECTED FROM WEBSITES
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Websites maintained by the Funds or their service
providers may use a variety of technologies to collect information that help the Funds and their service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are
commonly referred to as &#147;cookies&#148;) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. In addition, the Funds or their Service Affiliates may use
third parties to place advertisements for the Funds on other websites, including banner advertisements. Such third parties may collect anonymous information through the use of cookies or action tags (such as web beacons). The information these third
parties collect is generally limited to technical and web navigation information, such as your IP address, web pages visited and browser type, and does not include personally identifiable information such as name, address, phone number or email
address. </FONT></P></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>130</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>PIMCO CLOSED-END FUNDS</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">(Unaudited) </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P><DIV STYLE="position:relative;float:left; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">You can change
your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">CHANGES TO THE PRIVACY POLICY </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:-6px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">From time to time, the Funds may update or revise this privacy
policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">1</SUP> Amended as of May 13, 2015. </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">2</SUP> When distributing this Policy, a Fund may combine the
distribution with any similar distribution of its investment adviser&#146;s privacy policy. The distributed, combined policy may be written in the first person (i.e., by using &#147;we&#148; instead of &#147;the Funds&#148;).
</FONT></P></DIV><DIV STYLE="position:relative;float:left; margin-left:2%; width:48%;padding-right:1%;padding-bottom:8pt;overflow:hidden;padding-top:3pt">
</DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>

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<TD WIDTH="11%"></TD>
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<TD WIDTH="9%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="3%"></TD></TR>
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<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>ANNUAL&nbsp;REPORT</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1">JUNE&nbsp;30,&nbsp;2016</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow" SIZE="1"><B>131</B></FONT></TD></TR></TABLE></DIV>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="3"><B>General Information </B></FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Investment Manager </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Pacific Investment Management Company LLC </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">1633 Broadway </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">New York, NY 10019 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Custodian </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">State Street Bank and Trust Company </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">801 Pennsylvania Avenue </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Kansas City, MO 64105 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Transfer Agent, Dividend Paying Agent and Registrar
</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">American Stock Transfer&nbsp;&amp; Trust Company, LLC </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">6201 15th Avenue </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Brooklyn, NY 11219 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Legal Counsel </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Ropes&nbsp;&amp; Gray LLP </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Prudential Tower </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">800 Boylston Street </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Boston, MA 02199 </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333"><B>Independent Registered Public Accounting Firm </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT
STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">PricewaterhouseCoopers LLP </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">1100 Walnut Street, Suite 1300 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">Kansas City, MO 64106 </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px; "><FONT STYLE="font-family:Arial Narrow" SIZE="2" COLOR="#333333">This report is submitted for the general information of the shareholders of PCM Fund, Inc., PIMCO Global StocksPLUS<FONT
STYLE="font-family:Arial Narrow" SIZE="1" COLOR="#333333"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"><FONT STYLE="FONT-FAMILY:ARIAL">&#174;</FONT></SUP></FONT> &amp; Income Fund, PIMCO&nbsp;Income Opportunity Fund, PIMCO
Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund. </FONT></P>

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<IMG SRC="g210014g75h91.jpg" ALT="LOGO">
 </P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Arial Narrow" SIZE="1">CEF3010AR_063016 </FONT></P>

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<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;2.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Code of Ethics. </B></TD></TR></TABLE> <P STYLE="margin-top:8pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">As of the end of the period covered by this report, the Registrant has
adopted a code of ethics (the &#147;Code&#148;) that applies to </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">the Registrant&#146;s principal executive officer and principal
financial&nbsp;&amp; accounting officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial&nbsp;&amp; accounting officer during the period
covered by this report. </P> <P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">A copy of the Code is included as an exhibit to this report. </P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;3.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Audit Committee Financial Expert. </B></TD></TR></TABLE> <P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">(a) The Board of Trustees has determined that James
A. Jacobson, who serves on the Board&#146;s Audit Oversight Committee, qualifies as an &#147;audit committee financial expert&#148; as such term is defined in the instructions to this Item&nbsp;3. The Board has also determined that Mr.&nbsp;Jacobson
is &#147;independent&#148; as such term is interpreted under this Item&nbsp;3. </P>

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<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;4.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Principal Accountant Fees and Services. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="35%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="15%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="35%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">(a)</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Fiscal Year Ended</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Audit&nbsp;Fees</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">June 30, 2016</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33,448</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">June 30, 2015</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31,031</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">(b)</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Fiscal Year Ended</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP><U><FONT STYLE="white-space:nowrap">Audit-Related&nbsp;Fees</FONT></U><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">June 30, 2016</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">June 30, 2015</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">(c)</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Fiscal Year Ended</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Tax Fees</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">June 30, 2016</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17,750</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">June 30, 2015</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33,470</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">(d)</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><U>Fiscal Year Ended</U></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP><U>All Other Fees</U><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">June 30, 2016</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">June 30, 2015</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">&#147;Audit Fees&#148; represents fees billed for each of the last two fiscal years for professional services
rendered for the audit and review of the Registrant&#146;s annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal
years. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">&#147;Audit-Related Fees&#148; represents fees billed for each of the last two fiscal years for assurance and related services
that are reasonably related to the performance of the audit or review of the Registrant&#146;s financial statements, but not reported under &#147;Audit Fees&#148; above, and that include accounting consultations, attestation reports and comfort
letters for those fiscal years. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">&#147;Tax Fees&#148; represents fees billed for each of the last two fiscal years for professional
services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and
analysis reviews. The amounts under &#147;Tax Fees&#148; shown above have been updated from amounts shown in prior filings of this report, as applicable, due to changes in how certain fees are categorized for these purposes. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">&#147;All Other Fees&#148; represents fees, if any, billed for other products and services rendered by the principal accountant to the
Registrant other than those reported above under &#147;Audit Fees,&#148; &#147;Audit-Related Fees&#148; and &#147;Tax Fees&#148; for the last two fiscal years. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman"><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP>There were no &#147;Audit-Related Fees&#148; and &#147;All Other Fees&#148; for the
last two fiscal years. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(e)</TD>
<TD ALIGN="left" VALIGN="top">Pre-approval policies and procedures </TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">(1) The Registrant&#146;s Audit Oversight Committee has
adopted pre-approval policies and procedures (the &#147;Procedures&#148;) to govern the Audit Oversight Committee&#146;s pre-approval of (i)&nbsp;all audit services and permissible non-audit services to be provided to the Registrant by its
independent accountant, and (ii)&nbsp;all permissible non-audit services to be provided by such independent accountant to the Registrant&#146;s investment adviser and to any entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Registrant (collectively, the &#147;Service Affiliates&#148;) if the services provided directly relate to the Registrant&#146;s operations and financial reporting. In accordance with the
Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrant&#146;s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to
the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or
the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to
be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the
Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting. </P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">(2) With respect to the services described in paragraphs (b)&nbsp;through (d)&nbsp;of this
Item&nbsp;4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">f)</TD>
<TD ALIGN="left" VALIGN="top">Not applicable. </TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">g)</TD>
<TD ALIGN="left" VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="86%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="63%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="8" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><B></B><FONT STYLE="white-space:nowrap">&nbsp;&nbsp;&nbsp;&nbsp;Aggregate&nbsp;Non-Audit&nbsp;Fees&nbsp;Billed&nbsp;to&nbsp;Entity*&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><B></B></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">Entity</P>
<P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">June&nbsp;30,&nbsp;2016</P>
<P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">June&nbsp;30,&nbsp;2015</P>
<P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;PIMCO Strategic Income Fund, Inc.</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">17,750</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">33,470</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;&nbsp;</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;Pacific Investment Management Company LLC (&#147;PIMCO&#148;)</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> &nbsp;<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"> 7,767,308<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> &nbsp;&nbsp;<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> &nbsp;<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"> 9,815,893<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"> &nbsp;&nbsp;<P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:6.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Total</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">$</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right">7,785,058</TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">$</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right">9,849,363</TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
</TABLE></DIV> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:13%; font-size:10pt; font-family:Times New Roman">*The amounts have been updated from amounts shown in prior filings of this report, as applicable, due
to changes in how certain fees are categorized for these purposes. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">h)</TD>
<TD ALIGN="left" VALIGN="top">The Registrant&#146;s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to 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 which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant&#146;s independence.
</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;5.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Audit Committee of Listed Registrants. </B></TD></TR></TABLE> <P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">The Registrant has a separately-designated
standing audit committee established in accordance with Section&nbsp;3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of: </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Deborah A. DeCotis; </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Bradford K.
Gallagher; </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">James A. Jacobson; </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Hans W. Kertess; </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">William B.
Ogden, IV; and </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Alan Rappaport. </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;6.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Schedule of Investments. </B></TD></TR></TABLE> <P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">The Schedule of Investments is included as part of the
reports to shareholders under Item&nbsp;1. </P> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;7.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. </B></TD></TR></TABLE>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">PIMCO has adopted written proxy voting policies and procedures (&#147;Proxy Policy&#148;) as required by Rule 206(4)-6 under the Advisers Act.
In addition to covering the voting of equity securities, the Proxy Policy also applies generally to voting and/or consent rights of fixed income securities, including but not limited to, plans of reorganization, and waivers and consents under
applicable indentures. The Proxy Policy does not apply, however, to consent rights that primarily entail decisions to buy or sell investments, such as tender or exchange offers, conversions, put options, redemption and Dutch auctions. The Proxy
Policy is designed and implemented in a manner reasonably expected to ensure that voting and consent rights (collectively, &#147;proxies&#148;) are exercised in the best interests of accounts. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">With respect to the voting of proxies relating to equity securities, PIMCO has selected an unaffiliated third party proxy research and voting
service (&#147;Proxy Voting Service&#148;), to assist it in researching and voting proxies. With respect to each proxy received, the Proxy Voting Service researches the financial implications of the proposals and provides a recommendation to PIMCO
as to how to vote on each proposal based on the Proxy Voting Service&#146;s research of the individual facts and circumstances and the Proxy Voting Service&#146;s application of its research findings to a set of guidelines that have been approved by
PIMCO. Upon the recommendation of the applicable portfolio managers, PIMCO may determine to override any recommendation made by the Proxy Voting Service. In the event that the Proxy Voting Service does not provide a recommendation with respect to a
proposal, PIMCO may determine to vote on the proposals directly. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">With respect to the voting of proxies relating to fixed income
securities, PIMCO&#146;s fixed income credit research group (the &#147;Credit Research Group&#148;) is responsible for researching and issuing recommendations for voting proxies. With respect to each proxy received, the Credit Research Group
researches the financial implications of the proxy proposal and </P>

<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">
makes voting recommendations specific for each account that holds the related fixed income security. PIMCO considers each proposal regarding a fixed income security on a case-by-case basis taking
into consideration any relevant contractual obligations as well as other relevant facts and circumstances at the time of the vote. Upon the recommendation of the applicable portfolio managers, PIMCO may determine to override any recommendation made
by the Credit Research Group. In the event that the Credit Research Group does not provide a recommendation with respect to a proposal, </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">PIMCO may determine to vote the proposal directly. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">PIMCO may determine not to vote a proxy for an equity or fixed income security if: (1)&nbsp;the effect on the applicable account&#146;s
economic interests or the value of the portfolio holding is insignificant in relation to the account&#146;s portfolio; (2) the cost of voting the proxy outweighs the possible benefit to the applicable account, including, without limitation,
situations where a jurisdiction imposes share blocking restrictions which may affect the ability of the portfolio managers to effect trades in the related security; or (3)&nbsp;PIMCO otherwise has determined that it is consistent with its fiduciary
obligations not to vote the proxy. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">In the event that the Proxy Voting Service or the Credit Research Group, as applicable, does not
provide a recommendation or the portfolio managers of a client account propose to override a recommendation by the Proxy Voting Service, or the Credit Research Group, as applicable, PIMCO will review the proxy to determine whether there is a
material conflict between PIMCO and the applicable account or among PIMCO-advised accounts. If no material conflict exists, the proxy will be voted according to the portfolio managers&#146; recommendation. If a material conflict does exist, PIMCO
will seek to resolve the conflict in good faith and in the best interests of the applicable client account, as provided by the Proxy Policy. The Proxy Policy permits PIMCO to seek to resolve material conflicts of interest by pursuing any one of
several courses of action. With respect to material conflicts of interest between PIMCO and a client account, the Proxy Policy permits PIMCO to either: (i)&nbsp;convene a committee to assess and resolve the conflict (the &#147;Proxy Conflicts
Committee&#148;); or (ii)&nbsp;vote in accordance with protocols previously established by the Proxy Policy, the Proxy Conflicts Committee and/or other relevant procedures approved by PIMCO&#146;s Legal and Compliance department with respect to
specific types of conflicts. With respect to material conflicts of interest between one or more PIMCO-advised accounts, the Proxy Policy permits PIMCO to: (i)&nbsp;designate a PIMCO portfolio manager who is not subject to the conflict to determine
how to vote the proxy if the conflict exists between two accounts with at least one portfolio manager in common; or (ii)&nbsp;permit the respective portfolio managers to vote the proxies in accordance with each client account&#146;s best interests
if the conflict exists between client accounts managed by different portfolio managers. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">PIMCO will supervise and periodically review its
proxy voting activities and the implementation of the Proxy Policy. </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">PIMCO&#146;s Proxy Policy, and information about how PIMCO voted a
client&#146;s proxies, is available upon request. </P> <P STYLE="font-size:14pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;8.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Portfolio Managers of Closed-End Management Investment Companies. </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">(a)(1) </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">As of August&nbsp;26, 2016, the following individuals have primary responsibility for the day-to-day implementation of the
PIMCO Strategic Income Fund, Inc. (the &#147;Fund&#148;): </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman"><B>Daniel H</B><B>. Hyman</B> </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Mr. Hyman has been a portfolio manager of the Fund since June 2012. Mr. Hyman is an executive vice president in the Newport
Beach office. Mr. Hyman is a portfolio manager focusing on mortgage-backed securities and derivatives. Prior to joining PIMCO in 2008, he was a vice president at Credit Suisse where he traded Agency pass-throughs. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman"><B>Daniel J. Ivascyn</B> </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Mr. Ivascyn has been a lead portfolio manager of the Fund since May 2002. Mr. Ivascyn is Group Chief Investment Officer and a
managing director in the Newport Beach office. Prior to joining PIMCO in 1998, he worked at Bear Stearns in the asset-backed securities group, as well as T. Rowe Price and Fidelity Investments. </P>

<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">(a)(2) </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">The following summarizes information regarding each of the accounts, excluding the Fund, managed by the Portfolio Managers as of June 30,
2016, including accounts managed by a team, committee, or other group that includes a Portfolio Manager. Unless mentioned otherwise, the advisory fee charged for managing each of the accounts listed below is not based on performance. </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TR>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="22%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="14%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="14%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="7%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="14%"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Registered&nbsp;Investment</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Companies</P>
<P STYLE="font-size:12pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Other&nbsp;Pooled&nbsp;Investment</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Vehicles</P>
<P STYLE="font-size:12pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Other Accounts</TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">PM</P> <P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">#</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">AUM($million)</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">#</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">AUM($million)</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">#</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">AUM($million)</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman"><B>Daniel H. Hyman</B></P> <P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">4</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">$3,979.76</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">12</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">$1,159.93</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">19</TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt" BGCOLOR="#cceeff">$13,877.80*</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman"><B>Daniel J. Ivascyn</B></P> <P STYLE="font-size:10pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">13</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">$74,721.89</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">13</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">$18,726.94**</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">125</TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">$8,809.33***</TD></TR>
</TABLE> <P STYLE="margin-top:20pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">* Of these Other Accounts, <U>&nbsp;&nbsp;&nbsp;&nbsp;1&nbsp;&nbsp;&nbsp;&nbsp;</U> account(s)
totaling <U>&nbsp;&nbsp;&nbsp;&nbsp;$439.80&nbsp;&nbsp;&nbsp;&nbsp;</U> million in assets pay(s) an advisory fee that is based in part on the performance of the accounts. </P>
<P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">** Of these Other Pooled Investment Vehicles, <U>&nbsp;&nbsp;&nbsp;&nbsp;1&nbsp;&nbsp;&nbsp;&nbsp;</U> account(s) totaling
<U>&nbsp;&nbsp;&nbsp;&nbsp;$12.94&nbsp;&nbsp;&nbsp;&nbsp;</U> million in assets pay(s) an advisory fee that is based in part on the performance of the accounts. </P>
<P STYLE="margin-top:10pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">***Of these Other Accounts, <U>&nbsp;&nbsp;&nbsp;&nbsp;3&nbsp;&nbsp;&nbsp;&nbsp;</U> account(s) totaling
<U>&nbsp;&nbsp;&nbsp;&nbsp;$2,273.58&nbsp;&nbsp;&nbsp;&nbsp;</U> million in assets pay(s) an advisory fee that is based in part on the performance of the accounts. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">From time to time, potential and actual conflicts of interest may arise between a portfolio manager&#146;s management of the investments of
the Fund, on the one hand, and the management of other accounts, on the other. Potential and actual conflicts of interest may also arise as a result of PIMCO&#146;s other business activities and PIMCO&#146;s possession of material non-public
information about an issuer. Other accounts managed by a portfolio manager might have similar investment objectives or strategies as the Fund, track the same index as the Fund or otherwise hold, purchase, or sell securities that are eligible to be
held, purchased or sold by the Fund. The other accounts might also have different investment objectives or strategies than the Fund. Potential and actual conflicts of interest may also arise as a result of PIMCO serving as investment adviser to
accounts that invest in the Fund. In this case, such conflicts of interest could in theory give rise to incentives for PIMCO to, among other things, vote proxies of the Fund in a manner beneficial to the investing account but detrimental to the
Fund. Conversely, PIMCO&#146;s duties to the Fund, as well as regulatory or other limitations applicable to the Fund, may affect the courses of action available to PIMCO-advised accounts (including certain funds) that invest in the Fund in a manner
that is detrimental to such investing accounts. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Because PIMCO is affiliated with Allianz, a large multi-national financial institution,
conflicts similar to those described below may occur between the Fund and other accounts managed by PIMCO and PIMCO&#146;s affiliates or accounts managed by those affiliates. Those affiliates (or their clients), which generally operate autonomously
from PIMCO, may take actions that are adverse to the Fund or other accounts managed by PIMCO. In many cases, PIMCO will not be in a position to mitigate those actions or address those conflicts, which could adversely affect the performance of the
Fund or other accounts managed by PIMCO. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Knowledge and Timing of Fund Trades. A potential conflict of interest may arise
as a result of the portfolio manager&#146;s day-to-day management of the Fund. Because of their positions with the Fund, the portfolio managers know the size, timing and possible market impact of the Fund&#146;s trades. It is theoretically possible
that the portfolio managers could use this information to the advantage of other accounts they manage and to the possible detriment of the Fund. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Investment Opportunities. A potential conflict of interest may arise as a result of the portfolio manager&#146;s management of
a number of accounts with varying investment guidelines. Often, an investment opportunity may be suitable for both the Fund and other accounts managed by the portfolio manager, but may not be available in sufficient quantities for both the Fund and
the other accounts to participate fully. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. Similarly, there may be limited
opportunity to sell an investment held by the Fund and another account. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities on a fair and equitable basis over time. </P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Under PIMCO&#146;s allocation procedures, investment opportunities are allocated
among various investment strategies based on individual account investment guidelines and PIMCO&#146;s investment outlook. PIMCO has also adopted additional procedures to complement the general trade allocation policy that are designed to address
potential conflicts of interest due to the side-by-side management of the Fund and certain pooled investment vehicles, including investment opportunity allocation issues. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Conflicts potentially limiting the Fund&#146;s investment opportunities may also arise when the Fund and other PIMCO clients
invest in different parts of an issuer&#146;s capital structure, such as when the Fund owns senior debt obligations of an issuer and other clients own junior tranches of the same issuer. In such circumstances, decisions over whether to trigger an
event of default, over the terms of any workout, or how to exit an investment may result in conflicts of interest. In order to minimize such conflicts, a portfolio manager may avoid certain investment opportunities that would potentially give rise
to conflicts with other PIMCO clients or PIMCO may enact internal procedures designed to minimize such conflicts, which could have the effect of limiting the Fund&#146;s investment opportunities. Additionally, if PIMCO acquires material non-public
confidential information in connection with its business activities for other clients, a portfolio manager may be restricted from purchasing securities or selling securities for the Fund. Moreover, the Fund or other accounts managed by PIMCO may
invest in a transaction in which one or more other funds or accounts managed by PIMCO are expected to participate, or already have made or will seek to make, an investment. Such funds or accounts may have conflicting interests and objectives in
connection with such investments, including, for example and without limitation, with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment, and the timeframe for, and method of, exiting
the investment. When making investment decisions where a conflict of interest may arise, PIMCO will endeavor to act in a fair and equitable manner as between the Fund and other clients; however, in certain instances the resolution of the conflict
may result in PIMCO acting on behalf of another client in a manner that may not be in the best interest, or may be opposed to the best interest, of the Fund. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">Performance Fees. A portfolio manager may advise certain accounts with respect to which the advisory fee is based entirely or partially on
performance. Performance fee arrangements may create a conflict of interest for the portfolio manager in that the portfolio manager may have an incentive to allocate the investment opportunities that he or she believes might be the most profitable
to such other accounts instead of allocating them to the Fund. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities between the Fund and certain pooled investment vehicles on a fair and equitable basis
over time. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">(a)(3) </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">As of June&nbsp;30, 2016 the following explains the compensation structure of the individuals who have primary responsibility
for day-to-day portfolio management of the Fund: </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><B>Portfolio Manager Compensation</B> </P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">PIMCO has adopted a Total Compensation Plan for its professional level employees, including its portfolio managers, that is
designed to pay competitive compensation and reward performance, integrity and teamwork consistent with the firm&#146;s mission statement. The Total Compensation Plan includes an incentive component that rewards high performance standards, work
ethic and consistent individual and team contributions to the firm. The compensation of portfolio managers consists of a base salary and discretionary performance bonuses, and may include an equity or long term incentive component. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Certain employees of PIMCO, including portfolio managers, may elect to defer compensation through PIMCO&#146;s deferred
compensation plan. PIMCO also offers its employees a non-contributory defined contribution plan through which PIMCO makes a contribution based on the employee&#146;s compensation. PIMCO&#146;s contribution rate increases at a specified compensation
level, which is a level that would include portfolio managers. </P>

<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><B>Key Principles on Compensation Philosophy include:</B> </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">PIMCO&#146;s pay practices are designed to attract and retain high performers. </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">PIMCO&#146;s pay philosophy embraces a corporate culture of rewarding strong performance, a strong work ethic
and meritocracy. </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">PIMCO&#146;s goal is to ensure key professionals are aligned to PIMCO&#146;s long-term success through equity
participation. </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">PIMCO&#146;s &#147;Discern and Differentiate&#148; discipline is exercised where individual performance rating
is used for guidance as it relates to total compensation levels. </P></TD></TR></TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><B>The Total Compensation Plan consists
of three components:</B> </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Base Salary &#150; Base salary is determined based on core job responsibilities,
positions/levels and market factors. Base salary levels are reviewed annually, when there is a significant change in job responsibilities or position, or a significant change in market levels. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Performance Bonus &#150; Performance bonuses are designed to reward individual performance. Each professional and his or her
supervisor will agree upon performance objectives to serve as a basis for performance evaluation during the year. The objectives will outline individual goals according to pre-established measures of the group or department success. Achievement
against these goals as measured by the employee and supervisor will be an important, but not exclusive, element of the bonus decision process. Award amounts are determined at the discretion of the Compensation Committee (and/or certain senior
portfolio managers, as appropriate) and will also consider firm performance. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">Deferred Compensation &#150; M Options
and/or Long-Term Incentive Plan (LTIP) is awarded to key professionals.&nbsp;Employees who reach a total compensation threshold are delivered their annual compensation in a mix of cash and/or deferred compensation.&nbsp;PIMCO incorporates a
progressive allocation of deferred compensation as a percentage of total compensation, which is in line with market practices. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">The M Unit program provides mid-to-senior level employees with the potential to acquire an equity stake in
PIMCO over their careers and to better align employee incentives with the firm&#146;s long-term results. In the program, options are awarded and vest over a number of years and may convert into PIMCO equity which shares in the profit distributions
of the firm. M Units are non-voting common equity of PIMCO and provide a mechanism for individuals to build a significant equity stake in PIMCO over time. </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">The LTIP provides deferred cash awards that appreciate or depreciate based on PIMCO&#146;s operating earnings
over a rolling three-year period. The plan provides a link between longer term company performance and participant pay, further motivating participants to make a long-term commitment to PIMCO&#146;s success. </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Participation in M Unit program and LTIP is contingent upon continued employment at PIMCO.
</P></TD></TR></TABLE> <P STYLE="margin-top:18pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">In addition, the following non-exclusive list of criteria may be considered when specifically
determining the total compensation for portfolio managers: </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">3-year, 2-year and 1-year dollar-weighted and account-weighted, pre-tax investment performance as judged
against the applicable benchmarks for each account managed by a portfolio manager (including the Funds) and relative to applicable industry peer groups; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Appropriate risk positioning that is consistent with PIMCO&#146;s investment philosophy and the Investment
Committee/CIO approach to the generation of alpha; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Amount and nature of assets managed by the portfolio manager; </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Consistency of investment performance across portfolios of similar mandate and guidelines (reward low
dispersion); </P></TD></TR></TABLE>

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

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Generation and contribution of investment ideas in the context of PIMCO&#146;s secular and cyclical forums,
portfolio strategy meetings, Investment Committee meetings, and on a day-to-day basis; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Absence of defaults and price defaults for issues in the portfolios managed by the portfolio manager;
</P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Contributions to asset retention, gathering and client satisfaction; </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Contributions to mentoring, coaching and/or supervising; and </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="23%">&nbsp;</TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">Personal growth and skills added. </P></TD></TR></TABLE>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">A portfolio manager&#146;s compensation is not based solely on the performance of any Fund or any other account managed by that portfolio
manager. They are also evaluated against some of the non-exclusive list of qualitative criteria listed above. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman"><B><I>Profit Sharing
Plan.</I></B>&nbsp;Portfolio managers who are Managing Directors of PIMCO receive compensation from a non-qualified profit sharing plan consisting of a portion of PIMCO&#146;s net profits. Portfolio managers who are Managing Directors receive an
amount determined by the Compensation Committee, based upon an individual&#146;s overall contribution to the firm. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">(a)(4) </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">The following summarizes the dollar range of securities of the Fund the Portfolio Managers beneficially owned as of June&nbsp;30, 2016: </P>
<P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="97%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="44%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" NOWRAP STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE=" margin-top:0pt ; margin-bottom:0pt; text-indent:6.00em; font-size:10pt; font-family:Times New Roman"><B>Portfolio Manager</B></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">
<P STYLE="margin-top:0pt; margin-bottom:0pt; text-indent:4.00em; font-size:10pt; font-family:Times New Roman"><B>&nbsp;&nbsp;Dollar Range of Equity Securities of the</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; text-indent:4.00em; font-size:10pt; font-family:Times New Roman"><B>&nbsp;&nbsp;Fund Owned as of June&nbsp;30, 2016</B></P> <P STYLE="font-size:6pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>

<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000" BGCOLOR="#cceeff">
<P STYLE=" margin-top:0pt ; margin-bottom:0pt; text-indent:6.00em; font-size:10pt; font-family:Times New Roman"><B>Daniel H. Hyman</B></P></TD>
<TD VALIGN="bottom" BGCOLOR="#cceeff" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt" BGCOLOR="#cceeff">
<P STYLE=" margin-top:0pt ; margin-bottom:0pt; text-indent:4.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;None</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; text-indent:6.00em; font-size:10pt; font-family:Times New Roman"><B>Daniel J.
Ivascyn</B></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">
<P STYLE=" margin-top:0pt ; margin-bottom:0pt; text-indent:4.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;$100,001 - $500,000</P></TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;9.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. </B></TD></TR></TABLE>
<P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">None. </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;10.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Submission of Matters to a Vote of Security Holders. </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; margin-left:8%; font-size:10pt; font-family:Times New Roman">There have been no material
changes to the procedures by which shareholders may recommend nominees to the Fund&#146;s Board of Trustees since the Fund last provided disclosure in response to this item. </P> <P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;11.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Controls and Procedures. </B></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="9%" VALIGN="top" ALIGN="left">(a)</TD>
<TD ALIGN="left" VALIGN="top">The principal executive officer and principal financial&nbsp;&amp; accounting officer have concluded that the Registrant&#146;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) provide
reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="9%" VALIGN="top" ALIGN="left">(b)</TD>
<TD ALIGN="left" VALIGN="top">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. </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%" VALIGN="top" ALIGN="left"><B>Item&nbsp;12.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Exhibits. </B></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="9%" VALIGN="top" ALIGN="left">(a)(1)</TD>
<TD ALIGN="left" VALIGN="top">Exhibit 99.CODE&#151; Code of Ethics pursuant to Section&nbsp;406 of the Sarbanes-Oxley Act of 2002. </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="9%" VALIGN="top" ALIGN="left">(a)(2)</TD>
<TD ALIGN="left" VALIGN="top">Exhibit 99.CERT&#151;Certifications pursuant to Section&nbsp;302 of the Sarbanes-Oxley Act of 2002. </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="9%" VALIGN="top" ALIGN="left">(b)</TD>
<TD ALIGN="left" VALIGN="top">Exhibit 99.906CERT&#151;Certifications pursuant to Section&nbsp;906 of the Sarbanes-Oxley Act of 2002. </TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Signatures </B></P>
<P STYLE="margin-top:8pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized. </P> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="45%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="3">PIMCO Strategic Income Fund, Inc.</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top">By:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ &nbsp;&nbsp;&nbsp;&nbsp;PETER G. STRELOW</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Peter G. Strelow</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">President (Principal Executive Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Date:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">August 26, 2016</TD></TR>
</TABLE> <P STYLE="margin-top:8pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. </P> <P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="45%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="45%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top">By:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ &nbsp;&nbsp;&nbsp;&nbsp;PETER G. STRELOW</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Peter G. Strelow</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">President (Principal Executive Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Date:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">August 26, 2016</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="32"></TD>
<TD HEIGHT="32" COLSPAN="2"></TD>
<TD HEIGHT="32" COLSPAN="2"></TD>
<TD HEIGHT="32" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top">By:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ &nbsp;&nbsp;&nbsp;&nbsp;WILLIAM G. GALIPEAU</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">William G. Galipeau</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Treasurer (Principal Financial&nbsp;&amp; Accounting Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Date:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">August 26, 2016</TD></TR>
</TABLE>
</BODY></HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.(A)(1)
<SEQUENCE>2
<FILENAME>d207982dex99a1.htm
<DESCRIPTION>CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002.
<TEXT>
<HTML><HEAD>
<TITLE>Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.</TITLE>
</HEAD>
 <BODY BGCOLOR="WHITE">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B><U>Code of Ethics Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 for Principal
</U></B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B><U>Executive and Senior Financial Officers </U></B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Funds </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO
Variable Insurance Trust (&#147;PVIT&#148;) </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO ETF Trust (&#147;ETF&#148;) </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Equity Series (&#147;PES&#148;) </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Equity Series VIT (&#147;PESVIT&#148;) </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Managed Accounts Trust </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>PIMCO Sponsored Closed-End Funds<SUP STYLE="font-size:85%; vertical-align:top">1</SUP> </B></P>
<P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>I.</B></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt"><B>Covered Officers/Purpose of the Code </B></P></TD></TR></TABLE>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">This Code of Ethics (this &#147;Code&#148;) pursuant to Section 406 of the <FONT STYLE="white-space:nowrap">Sarbanes-Oxley</FONT> Act of 2002
has been adopted by the Funds and, except as provided in Section VI below, applies to each Fund&#146;s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the &#147;Covered Persons&#148;).&nbsp;Each Covered
Person is identified in <U>Exhibit A</U>.) </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">This Code has been adopted for the purpose of promoting: </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between
personal and professional relationships; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or
submits to, the Securities and Exchange Commission (&#147;SEC&#148;) and in other public communications made by a Fund; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">compliance with applicable laws and governmental rules and regulations; </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the
Code; and </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">accountability for adherence to the Code. </P></TD></TR></TABLE>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts
of interest or the appearance thereof. </P> <P STYLE="font-size:36pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P> <P STYLE="line-height:8.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000;width:26%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><SUP STYLE="font-size:85%; vertical-align:top">1</SUP>&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:10pt">The listed entities which are open-end investment companies are known as the &#147;Trusts&#148; and the listed
entities which are <FONT STYLE="white-space:nowrap">closed-end</FONT> investment companies are known as the &#147;Closed-End Funds.&#148; The Trusts&#146; respective series and the Closed-End Funds are referred to herein as the &#147;Funds.&#148;
References to &#147;Trustees&#148; include Directors, as applicable. </P></TD></TR></TABLE>

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

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>II.</B></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt"><B>Covered Persons Should Handle Ethically Any Actual or Apparent Conflicts of Interest
</B></P></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify"><B>Overview</B>.&nbsp;A &#147;conflict of interest&#148; occurs when a Covered Person&#146;s private interest
interferes with the interests of, or his service to, the relevant Fund.&nbsp;For example, a conflict of interest would arise if a Covered Person, or a member of the Covered Person&#146;s family, receives improper personal benefits as a result of the
Covered Person&#146;s position with the relevant Fund. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Certain conflicts of interest arise out of the relationships between Covered
Persons and the relevant Fund and already are subject to conflict of interest provisions and procedures in the Investment Company Act of 1940, as amended (including the regulations thereunder, the &#147;1940 Act&#148;) and the Investment Advisers
Act of 1940, as amended (including the regulations thereunder, the &#147;Investment Advisers Act&#148;) and other applicable laws. Indeed, conflicts of interest are endemic for registered management investment companies and those conflicts are both
substantially and procedurally dealt with under the 1940 Act. For example, Covered Persons may not engage in certain transactions with a Fund because of their status as &#147;affiliated persons&#148; of such Fund. The compliance program of each Fund
and the compliance programs of its investment adviser, principal underwriter (with respect to the Trusts) and administrator (each a &#147;PIMCO-Affiliated Service Provider&#148; and, collectively, the &#147;PIMCO-Affiliated Service Providers&#148;<SUP
STYLE="font-size:85%; vertical-align:top">2</SUP>) are reasonably designed to prevent, or identify and correct, violations of many of those provisions, although they are not designed to provide absolute assurance as to those matters. This Code does
not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. <I>See also</I> Section V of this Code. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual
relationship between a Fund and its applicable PIMCO-Affiliated Service Providers of which the Covered Persons are also officers or employees.&nbsp;As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties
(whether for the Funds or for a PIMCO-Affiliated Service Provider, or for both), be involved in establishing policies and implementing decisions that will have different effects on the PIMCO-Affiliated Service Providers and the Funds.&nbsp;The
participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their applicable PIMCO-Affiliated Service Providers and is consistent with the performance by the Covered Persons of their
duties as officers of the relevant Fund.&nbsp;Thus, if performed in conformity with the provisions of the 1940 Act, the Investment Advisers Act, other applicable law and the relevant Fund&#146;s constitutional documents, such activities will be
deemed to have been handled ethically. Frequently, the 1940 Act establishes, as a mechanism for dealing with conflicts, requirements that such potential conflicts be disclosed to and approved by the Trustees of a Fund who are not &#147;interested
persons&#148; of such Fund under the 1940 Act.&nbsp;In addition, it is recognized by each Fund&#146;s Board of Trustees that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other
codes and that such service, by itself, does not give rise to a conflict of interest. </P> <P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<P STYLE="line-height:8.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000;width:26%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><SUP STYLE="font-size:85%; vertical-align:top">2</SUP>&nbsp;</TD>
<TD ALIGN="left" VALIGN="top">Each PIMCO-Affiliated Service Provider is identified in <U>Exhibit B.</U> </TD></TR></TABLE>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">2 </P>


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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Other conflicts of interest are covered by the Code, even if such conflicts of interest are
not the subject of provisions of the 1940 Act and the Investment Advisers Act.&nbsp;The following list provides examples of conflicts of interest under the Code, but Covered Persons should bear in mind that these examples are not
exhaustive.&nbsp;The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of the relevant Fund, unless the personal interest is disclosed to and reviewed by other officers of
such Fund or such Fund&#146;s Chief Compliance Officer (&#147;CCO&#148;). </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">*&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
*&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;* </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Each Covered Person must not: </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">use his personal influence or personal relationships to improperly influence investment decisions or financial
reporting by the relevant Fund whereby the Covered Person would benefit personally to the detriment of such Fund; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">cause the relevant Fund to take action, or fail to take action, for the individual personal benefit of the
Covered Person rather than the benefit of such Fund; or </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">retaliate against any other Covered Person or any employee of the Funds or their PIMCO-Affiliated Service
Providers for reports of potential violations that are made in good faith. </P></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">There are some conflict of interest
situations that should always be submitted for review by the President of the relevant Fund (or, with respect to activities of the President, by the Chairman of the relevant Fund or, if the same person holds the titles of President and Chairman, by
the Fund&#146;s CCO).&nbsp;These conflict of interest situations are listed below: </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">service on the board of directors or governing board of a publicly traded entity; </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">knowing acceptance of any investment opportunity or of any material gift or gratuity from any person or entity
that does business, or desires to do business, with the relevant Fund. For these purposes, material gifts do <U>not</U> include (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100.00; (ii)
attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable<SUP STYLE="font-size:85%; vertical-align:top">3</SUP> and both the Covered Person
and the giver are present<SUP STYLE="font-size:85%; vertical-align:top">4</SUP>; or (iii) gifts or meals/conferences/events received from the Covered Person&#146;s employer; </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P> <P STYLE="line-height:8.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000;width:26%">&nbsp;</P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><SUP STYLE="font-size:85%; vertical-align:top">3</SUP> Whether an entertainment expense is &#147;reasonable&#148; will vary depending on the
circumstances. For example, under proposed FINRA (NASD) guidance (Proposed IM 3060, SEC Release No. 34-55765, May 15, 2007), generally, a business entertainment event that is so lavish or extensive in nature that an attendee would likely feel
compelled to direct business to the sponsor of the event, or a business entertainment event that is intended or designed to cause, or would be reasonably judged to have the likely effect of causing the attendee to act in a manner that is
inconsistent with the best interests of a Fund would be unreasonable <I>per se</I>. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><SUP STYLE="font-size:85%; vertical-align:top">4</SUP> In the event a Covered Person is a registered representative of the Funds&#146;
principal underwriter, the aggregate annual gift value from a single giver shall not exceed $100.00 as required by the rules of FINRA. However, PIMCO employees and PIMCO Investments LLC registered representatives are subject to the respective
firm&#146;s internal policies on accepting gifts and entertainment and must abide by the limitations imposed by such policies. </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">3 </P>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">any ownership interest in, or any consulting or employment relationship with, any entities doing business with
the relevant Fund, other than a PIMCO-Affiliated Service Provider or an affiliate of a PIMCO-Affiliated Service Provider.<SUP STYLE="font-size:85%; vertical-align:top">5</SUP> This restriction shall not apply to or otherwise limit the ownership of
publicly traded securities of such entities doing business with the relevant Fund so long as the Covered Person&#146;s ownership does not exceed more than 2% of the outstanding securities of the relevant class; or </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">knowingly have a direct or indirect financial interest in commissions, transaction charges or spreads paid by
the relevant Fund for effecting portfolio transactions or for selling or redeeming shares of a Fund other than an interest arising from the Covered Person&#146;s employment. This restriction shall not apply to or otherwise limit the direct or
indirect ownership of publicly traded securities of any such company so long as the Covered Person&#146;s ownership does not exceed more than 2% of the particular class of security outstanding. </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>III.</B></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt"><B>Disclosure and Compliance </B></P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">No Covered Person should knowingly misrepresent, or cause others to misrepresent, facts about the relevant
Fund to others, whether within or outside such Fund, including to such Fund&#146;s Board of Trustees and auditors, and to governmental regulators and <FONT STYLE="white-space:nowrap">self-regulatory</FONT> organizations; </P></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">each Covered Person should, to the extent appropriate within his area of responsibility, consult with other
officers and employees of the Funds, applicable PIMCO Affiliated Service Providers, other service providers, or with counsel to the Funds with the goal of promoting full, fair, accurate, timely and understandable disclosure in the registration
statements or periodic reports that the Funds file with, or submit to, the SEC (which, for sake of clarity, does not include any sales literature, omitting prospectuses, or &#147;tombstone&#148; advertising prepared by the relevant Fund&#146;s
principal underwriter(s)); and </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">it is the responsibility of each Covered Person to promote compliance with the standards and restrictions
imposed by applicable laws, rules and regulations. </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P> <P STYLE="line-height:1.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000">&nbsp;</P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="justify"><SUP STYLE="font-size:85%; vertical-align:top">5</SUP> For purposes of the Code, an &#147;affiliate&#148; of a Service Provider is (a) any
natural person or entity directly or indirectly owning, controlling, or holding with power to vote, 5% or more of the outstanding voting securities of the Service Provider; (b) any natural person or entity 5% or more of whose outstanding voting
securities are directly or indirectly owned by, controlled, or held with power to vote, by the Service Provider; (c) any person directly or indirectly controlling, controlled by, or under common control with, the Service Provider; or (d) any
officer, director, partner, copartner, or employee of the Service Provider. </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">4 </P>


<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>IV.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Reporting and Accountability </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Each Covered Person must: </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to
the relevant Fund that he has received, read, and understood the Code; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">annually thereafter affirm to the relevant Fund that he has complied with the requirements of the Code by
completing the Annual Certification of Compliance attached hereto as <U>Exhibit C</U>; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">provide full and fair responses to all questions asked in any Trustee and Officer Questionnaire provided by
the relevant Fund as well as with respect to any supplemental request for information; and </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">notify the President of the relevant Fund promptly if he or she is convinced to a moral certainty that there
has been a material violation of this Code (with respect to violations by a President, the Covered Person shall report to the Chairman of the relevant Fund or, if the same person holds the titles of President and Chairman, to the Fund&#146;s CCO).
</P></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">The President of each Fund is responsible for applying this Code to specific situations in which questions are
presented under it and, in consultation with the Fund&#146;s CCO, has the authority to interpret this Code in any particular situation.&nbsp;However, any reviews sought by the President will be considered by the Chairman of the relevant Fund or, if
the same person holds the titles of President and Chairman, by the Fund&#146;s CCO. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">The Funds will follow these procedures in
investigating and enforcing this Code: </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">the President will take all appropriate action to investigate any potential material violations reported to
him, which actions may include the use of internal or external counsel, accountants or other personnel; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">if, after such investigation, the President believes that no material violation has occurred, the President is
not required to take any further action; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">any matter that the President believes is a material violation will be reported to the applicable Fund&#146;s
CCO; </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">if the CCO concurs that a material violation has occurred, it will inform and make a recommendation to the
Fund&#146;s Board of Trustees, which will consider appropriate action, which may include review of, and appropriate modifications to applicable policies and procedures; notification to appropriate personnel of a PIMCO-Affiliated Service Provider or
its board; or a recommendation to dismiss the Covered Person; and </P></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="justify" STYLE=" margin-top:0pt ; margin-bottom:0pt; font-family:Times New Roman; font-size:12pt">A Fund&#146;s CCO or Board of Trustees may grant waivers under this Code, as each deems appropriate.
</P></TD></TR></TABLE>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">5 </P>


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

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>V.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Public Disclosure of Changes and Waivers </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Any changes to this Code will, to the extent
required by the SEC&#146;s rules, be disclosed on the Fund&#146;s website or in the Fund&#146;s N-CSR.&nbsp;Any waivers under this Code relating to a Covered Person will, to the extent required by the SEC&#146;s rules, be disclosed on the
Fund&#146;s website or in the Fund&#146;s N-CSR. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>VI.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Other Policies and Procedures </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">This Code shall be the sole code of ethics adopted by
the Funds for purposes of Section 406 of the <FONT STYLE="white-space:nowrap">Sarbanes-Oxley</FONT> Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the
Funds&#146; PIMCO-Affiliated Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this
Code. The Funds&#146; and their PIMCO-Affiliated Service Providers&#146; codes of ethics under Rule <FONT STYLE="white-space:nowrap">17j-1</FONT> under the 1940 Act and the PIMCO-Affiliated Service Providers&#146; more detailed compliance policies
and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>VII.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Amendments </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Any material amendments to this Code must be approved or ratified by a
majority vote of the Board of Trustees. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>VIII.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Confidentiality </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">All reports and records prepared or maintained pursuant to this Code
will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board of Trustees. </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><B>IX.</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Internal Use </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">The Code is intended solely for the internal use by the Funds and does
not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion. </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">6 </P>


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

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="right">Sarbanes-Oxley Code of Ethics </P>
<p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P>
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>History of Amendments </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman"><U>History of adoptions and amendments: </U></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Adopted:&nbsp;September 29, 2004 </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Effective:&nbsp;October 5, 2004
</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;April 1, 2005 </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;May 24, 2005 </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;February 24, 2009 (added ETF) </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;March
31, 2009 </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;August 11, 2009 </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;March
30, 2010 (added PES and PESVIT) </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;March 1, 2011 </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;February 27, 2013 </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;November 7, 2013
(non-material changes) </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended:&nbsp;February 26, 2014 (non-material changes) </P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended: August 14, 2014 (added PIMCO Managed Accounts Trust and PIMCO Sponsored Closed-End
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Funds) </P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Amended: January 17, 2015 </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">7 </P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Exhibit A </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify"><U>Persons Covered by this Code of Ethics </U></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" ALIGN="center">


<TR>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="24%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="bottom" STYLE="BORDER:1px solid #000000; padding-left:8pt"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Trust</B></P>
<P STYLE="font-size:4pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Principal&nbsp;Executive</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Officer</B></P> <P STYLE="font-size:4pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Principal&nbsp;Financial</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Officer</B></P> <P STYLE="font-size:4pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Principal&nbsp;Accounting</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Officer</B></P> <P STYLE="font-size:4pt; margin-top:0pt; margin-bottom:1pt" align="left">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PIMCO Funds</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Trent W. Walker</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Trent W. Walker</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PVIT</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Trent W. Walker</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Trent W. Walker</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">ETF</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Trent W. Walker</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Trent W. Walker</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PES</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Trent W. Walker</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Trent W. Walker</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PESVIT</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Trent W. Walker</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">Trent W. Walker</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PIMCO Managed Accounts Trust</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">William G. Galipeau</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">William G. Galipeau</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">PIMCO Sponsored Closed-End Funds</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">Peter G. Strelow</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000">William G. Galipeau</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">William G. Galipeau</TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="justify">Note that a listed officer is only a &#147;Covered Person&#148; of the Fund(s) for which he or she serves as a
Principal Executive Officer, Principal Financial Officer or Principal Accounting Officer. </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">A-1 </P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Exhibit B </B></P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman"><U>PIMCO-Affiliated Service Providers</U>* </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" ALIGN="center">


<TR>
<TD WIDTH="19%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="78%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="bottom" STYLE="BORDER:1px solid #000000; padding-left:8pt"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Investment&nbsp;Adviser&nbsp;&nbsp;&nbsp;&nbsp;</P>
<P STYLE="font-size:6pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:12pt; font-family:Times New Roman">Pacific Investment Management Company LLC (&#147;PIMCO&#148;)</P>
<P STYLE="font-size:6pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">Principal Underwriter**</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:12pt; font-family:Times New Roman">PIMCO
Investments LLC</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-left:8pt">
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">Administrator***</P> <P STYLE="font-size:6pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000; padding-right:8pt">
<P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:12pt; font-family:Times New Roman">PIMCO</P> <P STYLE="font-size:6pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">* None of the PIMCO-Affiliated Service Providers are publicly traded companies. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">** PIMCO Investments LLC does not serve as the principal underwriter for the Closed-End Funds. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman">*** Each Fund retains PIMCO to provide administrative services, either under separate administration agreements or under their advisory or management
agreements. </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">B-1 </P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Exhibit C </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">ANNUAL CERTIFICATION OF COMPLIANCE </P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; text-indent:5%; font-size:12pt; font-family:Times New Roman" ALIGN="justify">I hereby certify that I have complied with the requirements of the Code of Ethics Pursuant to Section 406 of the
Sarbanes-Oxley Act of 2002 for Principal Executive and Senior Financial Officers (the &#147;Code&#148;) for the year ended December 31, <U>&nbsp;&nbsp;&nbsp;&nbsp;</U>.&nbsp;I also agree to cooperate fully with any investigation or inquiry as to
whether a possible violation of the foregoing Code has occurred. </P> <P STYLE="font-size:48pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:12pt" ALIGN="center">


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<TD WIDTH="33%"></TD>
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<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="top">Date:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"> <P STYLE="margin-top:0pt; margin-bottom:1pt; border-bottom:1px solid #000000; font-size:12pt; font-family:Times New Roman">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:1pt; border-bottom:1px solid #000000; font-size:12pt; font-family:Times New Roman">&nbsp;</P></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:12pt">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Signature</TD></TR>
</TABLE>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center">C-1 </P>

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<DOCUMENT>
<TYPE>EX-99.(A)(2)
<SEQUENCE>3
<FILENAME>d207982dex99a2.htm
<DESCRIPTION>CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002.
<TEXT>
<HTML><HEAD>
<TITLE>Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.</TITLE>
</HEAD>
 <BODY BGCOLOR="WHITE">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Exhibit 99.CERT </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><U>Certification Under Rule 30a-2(a) </U></B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFICATION </B></P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">I, Peter G. Strelow, certify
that: </P> <P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">1.</TD>
<TD ALIGN="left" VALIGN="top">I have reviewed this report on Form N-CSR of PIMCO Strategic Income Fund, Inc.; </TD></TR></TABLE> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">2.</TD>
<TD ALIGN="left" VALIGN="top">Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report; </TD></TR></TABLE> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">3.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE>
<P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">4.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">a)</TD>
<TD ALIGN="left" VALIGN="top">Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">b)</TD>
<TD ALIGN="left" VALIGN="top">Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">c)</TD>
<TD ALIGN="left" VALIGN="top">Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of this report based on such evaluation; and </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">d)</TD>
<TD ALIGN="left" VALIGN="top">Disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the 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 </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">5.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent functions):
</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">a)</TD>
<TD ALIGN="left" VALIGN="top">All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant&#146;s ability to record,
process, summarize, and report financial information; and </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">b)</TD>
<TD ALIGN="left" VALIGN="top">Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control over financial reporting. </TD></TR></TABLE>
<P STYLE="font-size:24pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="84%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="19%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="27%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Date:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">August&nbsp;26, 2016</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Signature:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ Peter G. Strelow</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Title:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">President&nbsp;(Principal&nbsp;Executive&nbsp;Officer)</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Exhibit 99.CERT </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><U>Certification Under Rule 30a-2(a) </U></B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFICATION </B></P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">I, William G. Galipeau,
certify that: </P> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">1.</TD>
<TD ALIGN="left" VALIGN="top">I have reviewed this report on Form N-CSR of PIMCO Strategic Income Fund, Inc.; </TD></TR></TABLE> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">2.</TD>
<TD ALIGN="left" VALIGN="top">Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report; </TD></TR></TABLE> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">3.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE>
<P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">4.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">a)</TD>
<TD ALIGN="left" VALIGN="top">Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">b)</TD>
<TD ALIGN="left" VALIGN="top">Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">c)</TD>
<TD ALIGN="left" VALIGN="top">Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of this report based on such evaluation; and </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">d)</TD>
<TD ALIGN="left" VALIGN="top">Disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the 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 </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="5%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">5.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent functions):
</TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">a)</TD>
<TD ALIGN="left" VALIGN="top">All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant&#146;s ability to record,
process, summarize, and report financial information; and </TD></TR></TABLE> <P STYLE="font-size:8pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">b)</TD>
<TD ALIGN="left" VALIGN="top">Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control over financial reporting. </TD></TR></TABLE>
<P STYLE="font-size:24pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="84%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="11%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="49%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="34%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Date:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">August&nbsp;26, 2016</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Signature:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/&nbsp;William&nbsp;G.&nbsp;Galipeau</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
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<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;Title:</TD>
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<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Treasurer&nbsp;(Principal&nbsp;Financial&nbsp;&amp;&nbsp;Accounting&nbsp;Officer)</P>
<P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
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<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
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<DOCUMENT>
<TYPE>EX-99.(B)
<SEQUENCE>4
<FILENAME>d207982dex99b.htm
<DESCRIPTION>CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002.
<TEXT>
<HTML><HEAD>
<TITLE>Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.</TITLE>
</HEAD>
 <BODY BGCOLOR="WHITE">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Exhibit 99.906CERT </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><U>Certification Under Rule 30a-2(b) </U></B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>(as adopted pursuant to Section&nbsp;906 of the Sarbanes-Oxley Act) </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">In connection with the Report on Form N-CSR to which this certification is furnished as an exhibit (the &#147;Report&#148;), the undersigned officers of PIMCO
Strategic Income Fund, Inc. (the &#147;Registrant&#148;) each certify that to his knowledge: </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">1.</TD>
<TD ALIGN="left" VALIGN="top">The Report on Form N-CSR fully complies with the requirements of Section&nbsp;13(a) or 15(d) of the Securities Exchange Act of 1934; and </TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">2.</TD>
<TD ALIGN="left" VALIGN="top">The information contained in the Report on Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. </TD></TR></TABLE>
<P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="42%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">By:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ Peter G. Strelow</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">By:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">/s/ William G. Galipeau</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Name:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Peter G. Strelow</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Name:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">William G. Galipeau</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Title:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">President (Principal Executive Officer)</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Title:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Treasurer (Principal Financial &amp; Accounting Officer)</P>
<P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Date:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">August 26, 2016</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Date:</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">August 26, 2016</P> <P STYLE="font-size:3pt; margin-top:0pt; margin-bottom:1pt">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.20pt solid #000000">&nbsp;</P></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>A signed original of this written statement required by Section&nbsp;906, or other document authenticating, acknowledging,
or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section&nbsp;906, has been provided to the Registrant and will be retained by the Registrant and furnished to the
Securities and Exchange Commission (the &#147;Commission&#148;) or its staff upon request.</B> </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">This certification is being furnished to the Commission
solely pursuant to 18 U.S.C. Section&nbsp;1350 and is not being filed as part of the Reports. </P>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
